Press Release

Morningstar DBRS Takes Credit Rating Actions on 33 U.S. RMBS Transactions

RMBS
March 13, 2025

DBRS, Inc. (Morningstar DBRS) reviewed 266 classes from 33 U.S. residential mortgage-backed securities (RMBS) transactions. All 33 transactions reviewed are classified as re-performing loans. Of the 266 classes reviewed, Morningstar DBRS upgraded its credit ratings on 62 classes and confirmed its credit ratings on 204 classes.

CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. 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 assigned to the classes below materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings.

The below tranches materially deviate because additional seasoning and/or updated performance is to be measured against a sustainable upgrade loan level cash flow stress:

-- PRET 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class M-2
-- PRET 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-1
-- PRET 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-2

The below tranches materially deviate because actual deal or tranche performance is not fully reflected in projected cashflows / model output:

-- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class B2
-- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class B2
-- Towd Point Mortgage Trust 2018-6, Asset Backed Securities Series 2018-6, Class B2
-- Towd Point Mortgage Trust 2019-1, Asset Backed Securities Series 2019-1, Class B2
-- Towd Point Mortgage Trust 2019-2, Asset Backed Securities Series 2019-2, Class B2
-- Towd Point Mortgage Trust 2019-3, Asset Backed Securities Series 2019-3, Class B1
-- Towd Point Mortgage Trust 2019-3, Asset Backed Securities Series 2019-3, Class B2
-- Towd Point Mortgage Trust 2019-4, Asset Backed Securities Series 2019-4, Class B2
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1, Series 2021-1, Class M

The below tranches materially deviate because of dependency on another rating (such as interest only tranche or exchangeable tranche):

-- PRET 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class A-5

The credit rating was initiated at the request of the rated entity.

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

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

This is a solicited credit rating.

DBRS, Inc.
140 Broadway, 43rd Floor
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 02, 2025) (Version 1.3.28.1), 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

Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2022-1
PRET 2024-RPL1
Towd Point Mortgage Trust 2015-1
Towd Point Mortgage Trust 2015-2
Towd Point Mortgage Trust 2015-3
Towd Point Mortgage Trust 2015-4
Towd Point Mortgage Trust 2015-5
Towd Point Mortgage Trust 2015-6
Towd Point Mortgage Trust 2016-1
Towd Point Mortgage Trust 2016-2
Towd Point Mortgage Trust 2016-3
Towd Point Mortgage Trust 2016-4
Towd Point Mortgage Trust 2016-5
Towd Point Mortgage Trust 2017-1
Towd Point Mortgage Trust 2017-2
Towd Point Mortgage Trust 2017-3
Towd Point Mortgage Trust 2017-4
Towd Point Mortgage Trust 2017-5
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  • 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.