DBRS Morningstar Takes Rating Actions on Eight U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 226 classes from eight U.S. residential mortgage-backed securities (RMBS) transactions. The eight transactions are generally classified as agency credit risk transfer transactions. Of the 226 classes reviewed, DBRS Morningstar upgraded 167 ratings and confirmed 59 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update,” published on June 30, 2023 (https://www.dbrsmorningstar.com/research/416703). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.

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 DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498).

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

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar 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 below varies among tranches being (1) dependent on another tranche’s ratings (i.e., interest-only (IO) and exchangeable tranches), or (2) additional seasoning and/or updated performance being warranted to substantiate a further upgrade.

The below tranches materially deviate because of a dependency on another rating such as (IO) or exchangeable tranches:

-- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class B-1
-- Freddie Mac STACR REMIC Trust 2021-DNA1, Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes, Class B-1

The below tranches materially deviate because of additional seasoning and/or updated performance being warranted to substantiate a further upgrade:

-- Freddie Mac STACR REMIC Trust 2020-DNA6, Structured Agency Credit Risk (STACR) REMIC 2020-DNA6 Notes, Class B-1B
-- Freddie Mac STACR REMIC Trust 2021-DNA1, Structured Agency Credit Risk (STACR) REMIC 2021-DNA1 Notes, Class B-1B

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

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

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

This is a solicited credit rating.

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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 9, 2023) https://www.dbrsmorningstar.com/research/418987

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023) https://www.dbrsmorningstar.com/research/415687

Legal Criteria for U.S. Structured Finance (December 7, 2022) https://www.dbrsmorningstar.com/research/407008

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.