Press Release

Morningstar DBRS Takes Credit Rating Actions on 20 U.S. RMBS Transactions

RMBS
July 17, 2025

DBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 58 classes from twenty U.S. residential mortgage-backed securities (RMBS) transactions. Out of the twenty transactions, two are classified as Agency Credit transaction, one is classified Manufactured Housing, two are classified as prime mortgage transaction, three are classified as re-performing loan, two are classified as mortgage insurance linked note transaction, three are classified as Single-Family Rental, and seven are classified as legacy RMBS. Morningstar DBRS discontinued its credit ratings on all 58 classes that it reviewed.

The discontinued credit ratings reflect the full repayment of principal to the bondholders.

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) or "Rating and Monitoring U.S. Single-Family Rental Securitizations" (September 30, 2024) https://dbrs.morningstar.com/research/440087

ENVIRONMENTAL, SOCIAL, 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 (May 16, 2025) at https://dbrs.morningstar.com/research/454196/.

Notes:
The principal methodologies applicable to the credit ratings are U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291 or Rating and Monitoring U.S. Single-Family Rental Securitizations (September 30, 2024) https://dbrs.morningstar.com/research/440087

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

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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-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 this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model (Version 1.3.29.1), 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 these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

AMSR 2019-SFR1 Trust
AMSR 2020-SFR3 Trust
Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2
Bellemeade Re 2021-3 Ltd.
C-BASS 2004-CB5 Trust
C-BASS 2006-RP1 Trust
Citigroup Mortgage Loan Trust 2013-J1
Connecticut Avenue Securities, Series 2021-R01
Eagle Re 2021-2 Ltd.
First Franklin Mortgage Loan Trust 2006-FF8
J.P. Morgan Mortgage Trust 2014-IVR3
Mill City Mortgage Loan Trust 2018-2
PRPM 2021-RPL2, LLC
Park Place Securities Inc., Series 2005-WCH1
STAR 2021-SFR1 Trust
Securitized Asset Backed Receivables LLC Trust 2006-OP1
Structured Agency Credit Risk Debt Notes, Series 2018-DNA2
Terwin Mortgage Trust 2004-7HE
Towd Point Mortgage Trust 2015-4
Towd Point Mortgage Trust 2019-MH1
  • 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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