Press Release

Morningstar DBRS Takes Credit Rating Actions on 14 U.S. RMBS Transactions

RMBS
March 07, 2025

DBRS, Inc. (Morningstar DBRS) reviewed 71 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 14 transactions reviewed, eight are classified as synthetic RMBS and six are ReREMICs of legacy RMBS. Morningstar DBRS confirmed its credit ratings on 71 classes.

CREDIT RATING RATIONALE/DESCRIPTION

The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings.

The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns December 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024 (https://dbrs.morningstar.com/research/435291).

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings were initiated at the request of the rated entities.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

DBRS, Inc.
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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (January 2, 2025)
https://dbrs.morningstar.com/research/445477

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024)
https://dbrs.morningstar.com/research/428623

-- Legal Criteria for U.S. Structured Finance (December 3, 2024)
https://dbrs.morningstar.com/research/444064

-- Operational Risk Assessment for U.S. RMBS Originators and Servicers (September 30, 2024)
https://dbrs.morningstar.com/research/440086

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

BCAP LLC 2008-RR2 Trust
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS2
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS3
J.P. Morgan Resecuritization Trust, Series 2010-1
Morgan Stanley Resecuritization Trust 2015-R2
RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B
RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C
RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1
RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D
RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A
RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B
RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C
RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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