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

DBRS, Inc. (Morningstar DBRS) reviewed 38 classes in four U.S. residential mortgage-backed securities (RMBS) transactions. Of the four transactions reviewed, each of which are classified as reperforming mortgage, manufactured housing, home equity line of credit or single-family rental. Of the 38 classes reviewed, Morningstar DBRS upgraded its credit ratings on 25 classes and confirmed its credit ratings on the remaining 13 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 "U.S. RMBS Surveillance Methodology," published on June 28, 2024 or "Rating and Monitoring U.S. Single-Family Rental Securitizations," published on September 30, 2024.

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 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, 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:
All figures are in US 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 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 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.

-- Ajax Mortgage Loan Trust 2022-B, Mortgage-Backed Securities, Series 2022-B, Class M-1
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3

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

-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B2BX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3A
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3AX
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3B
-- Towd Point Mortgage Trust 2019-MH1, Asset-Backed Securities, Series Asset-Backed Securities, Series 2019-MH1, Class B3BX

The credit ratings are 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.

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

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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 1.3.29.0), 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 these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.