Press Release
Morningstar DBRS Takes Credit Rating Actions on 15 U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed 158 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 15 transactions reviewed, seven are classified as closed-end second-liens, five are classified as reperforming mortgages, and one of each are classified as non-qualified mortgage, residential transition loan, and home equity line of credit. Of the 158 classes reviewed, Morningstar DBRS upgraded its credit ratings on 15 classes and confirmed its credit ratings on the remaining 143 classes.
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. 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 March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). 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 rationale for the material deviations are as follows:
The below tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.
-- FIGRE Trust 2024-HE1, Mortgage Backed Notes, Series 2024 HE1, Class B
-- FIGRE Trust 2024-HE1, Mortgage Backed Notes, Series 2024 HE1, Class C
-- FIGRE Trust 2024-HE1, Mortgage Backed Notes, Series 2024 HE1, Class D
-- FIGRE Trust 2024-HE1, Mortgage Backed Notes, Series 2024 HE1, Class E
-- GS Mortgage-Backed Securities Trust 2023-RPL1, Mortgage-Backed Securities, Series 2023-RPL1, B-1
-- GS Mortgage-Backed Securities Trust 2023-RPL1, Mortgage-Backed Securities, Series 2023-RPL1, B-2
-- GS Mortgage-Backed Securities Trust 2023-RPL1, Mortgage-Backed Securities, Series 2023-RPL1, B-3
-- NRPL 2023-RPL1 Trust, Mortgage-Backed Notes, Series 2023-RPL1, Class B-1
-- NRPL 2023-RPL1 Trust, Mortgage-Backed Notes, Series 2023-RPL1, Class B-2
-- NRPL 2023-RPL1 Trust, Mortgage-Backed Notes, Series 2023-RPL1, Class M-2
-- PRPM 2024-RCF2, LLC, Asset-Backed Notes, Series 2024-RCF2, Class A-3
-- PRPM 2024-RCF2, LLC, Asset-Backed Notes, Series 2024-RCF2, Class M-1
-- Towd Point Mortgage Trust 2024-1, Asset Backed Securities Series 2024-1, Class B1
-- Towd Point Mortgage Trust 2024-1, Asset Backed Securities Series 2024-1, Class M2
-- Towd Point Mortgage Trust 2024-CES3, Asset-Backed Securities, Series 2024-CES3, Class B2
-- Towd Point Mortgage Trust 2024-CES3, Asset-Backed Securities, Series 2024-CES3, Class M1
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.
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 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
CIM Trust 2023-I1
CIM Trust 2023-R4
FIGRE Trust 2024-HE1
GS Mortgage-Backed Securities Trust 2023-RPL1
NRPL 2023-RPL1 Trust
New Residential Mortgage Loan Trust 2024-RTL1
PRPM 2024-RCF2, LLC
SAIF Securitization Trust 2024-CES1
Towd Point Mortgage Trust 2024-1
Towd Point Mortgage Trust 2024-CES3
Towd Point Mortgage Trust 2024-CES4
Towd Point Mortgage Trust 2024-CES6
Vista Point Securitization Trust 2024-CES1
Vista Point Securitization Trust 2024-CES2
Vista Point Securitization Trust 2024-CES3
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.
Download This Press Release
Related Documents
Methodology Used:
Other:
Contacts
- Cathlene H. Hyun
Senior Vice President - US RMBS Ratings, Surveillance
+(1) 212 806 3247
cathlene.hyun@morningstar.com - Jan Buckler
Senior Vice President, Sector Lead - Global Structured Finance Ratings
+(1) 212 806 3925
jan.buckler@morningstar.com - Claire Mezzanotte
Group Managing Director, Global Head of Structured Finance Ratings - Credit Ratings Leadership
+(1) 212 806 3272
claire.mezzanotte@morningstar.com