Press Release

Morningstar DBRS Takes Credit Rating Actions on 31 U.S. RMBS Transactions

RMBS
May 02, 2025

DBRS, Inc. (Morningstar DBRS) reviewed 218 classes from 31 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 31 transactions reviewed, two are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties, two are classified as re-performing mortgage transactions, and the remaining 27 deals are classified as Non-QM. Of the 218 classes reviewed, Morningstar DBRS upgraded its credit ratings on 64 classes and confirmed its credit ratings on 154 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 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), "North American CMBS Surveillance Methodology," published on February 28, 2025 (https://dbrs.morningstar.com/research/448963).

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 methodologies applicable to the credit ratings are U.S. RMBS Surveillance Methodology (June 28, 2024), https://dbrs.morningstar.com/research/435291, and North American CMBS Surveillance Methodology (February 28, 2025) https://dbrs.morningstar.com/research/448963.

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:

-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class M-1
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-1
-- BRAVO Residential Funding Trust 2021-NQM1, Mortgage-Backed Notes, Series 2021-NQM1, Class B-2
-- GS Mortgage-Backed Securities Trust 2020-NQM1, Mortgage Pass-Through Certificates, Series 2020-NQM1, Class B-2
-- Imperial Fund Mortgage Trust 2021-NQM1, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-2
-- Starwood Mortgage Residential Trust 2021-3, Mortgage Pass-Through Certificates, Series 2021-3, Class B-2
-- New Residential Mortgage Loan Trust 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-3
-- New Residential Mortgage Loan Trust 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-4
-- New Residential Mortgage Loan Trust 2024-RPL1, Mortgage-Backed Notes, Series 2024-RPL1, Class B-5
-- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class M-1
-- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class M-2
-- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class B-1
-- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class B-2

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

-- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class A-4
-- GS Mortgage-Backed Securities Trust 2024-RPL3, Mortgage-Backed Securities, Series 2024-RPL3, Class A-5

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 (Version 1.3.29.0)
https://dbrs.morningstar.com/research/445477

-- Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025)
https://dbrs.morningstar.com/research/450750

-- 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

A&D Mortgage Trust 2023-NQM2
Angel Oak Mortgage Trust 2020-3
Angel Oak Mortgage Trust 2020-4
Angel Oak Mortgage Trust 2020-5
Angel Oak Mortgage Trust 2020-6
BRAVO Residential Funding Trust 2020-NQM1
BRAVO Residential Funding Trust 2021-NQM1
Barclays Mortgage Loan Trust 2022-INV1
Bunker Hill Loan Depositary Trust 2020-1
CHNGE Mortgage Trust 2023-2
GCAT 2020-NQM2 Trust
GS Mortgage-Backed Securities Trust 2020-NQM1
GS Mortgage-Backed Securities Trust 2024-RPL3
HOMES 2023-NQM2 Trust
Imperial Fund Mortgage Trust 2020-NQM1
Imperial Fund Mortgage Trust 2021-NQM1
MFA 2020-NQM1 Trust
MFA 2020-NQM2 Trust
MFA 2022-NQM2 Trust
MFA 2023-NQM2 Trust
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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.

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