FEDERAL NATIONAL MORTGAGE ASSOCIATION
The
Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction.
The transaction is a securitization of newly originated and seasoned, performing and reperforming, first-lien residential mortgages, to be funded by the issuance of mortgage-backed notes (the Notes). The Notes are backed by 1,006 loans with a total principal balance of
Morningstar DBRS calculated the portfolio to be approximately 44 months seasoned on average, though the age of the loans is quite dispersed, ranging from four months to 447 months. Approximately 32.7% of the loans had origination guideline or document deficiencies, which prevented these loans from being sold to
In the portfolio, 7.9% of the loans are modified. The modifications happened less than two years ago for 73.7% of the modified loans. Within the portfolio, 111 mortgages have non-interest-bearing deferred amounts, equating to 0.5% of the total unpaid principal balance (UPB). Unless specified otherwise, all statistics on the mortgage loans in this report are based on the current UPB, including the applicable non-interest-bearing deferred amounts.
Based on Issuer-provided information, certain loans in the pool (18.1%) are not subject to or exempt from the
PRPM 2024-RCF2 is the fourth scratch & dent rated securitization for the Issuer. The Sponsor has securitized many rated and unrated transactions under the PRPM shelf, most of which have been seasoned, reperforming, and non-performing securitizations.
The Servicers will not advance any delinquent principal and interest (P&I) on the mortgages; however, the Servicers are obligated to make advances in respect of prior liens, insurance, real estate taxes, and assessments as well as reasonable costs and expenses incurred in the course of servicing and disposing of properties.
The Issuer has the option to redeem the Notes in full at a price equal to the sum of (1) the remaining aggregate Note Amount; (2) any accrued and unpaid interest due on the Notes through the redemption date (including any Cap Carryover); and (3) any fees and expenses of the transaction parties, including any unreimbursed servicing advances (Redemption Price). Such Optional Redemption may be exercised on or after the payment date in
Additionally, a failure to pay the Notes in full by the Payment Date in
The transaction employs a sequential-pay cash flow structure with a bullet feature to Class A-2 and more subordinate notes on the Redemption Date. P&I collections are commingled and are first used to pay interest and any Cap Carryover amount to the Notes sequentially and then to pay Class A-1 until its balance is reduced to zero, which may provide for timely payment of interest on certain rated Notes. Class A-2 and below are not entitled to any payments of principal until the Redemption Date or upon the occurrence of a Credit Event, except for remaining available funds representing net sales proceeds of the mortgage loans. Prior to the Redemption Date or an Event of Default, any available funds remaining after Class A-1 is paid in full will be deposited into a Redemption Account. Beginning on the Payment Date in
The ratings reflect transactional strengths that include the following:
Collateral Credit Quality,
Structural Features,
Current Delinquency Status, and
Third-Party Due-Diligence Review.
The transaction also includes the following challenges:
Loans Originated Outside of
Representations and warranties standard,
Assignments and Endorsements, and
No servicer advances of delinquent principal and interest.
The full description of the strengths, challenges, and mitigating factors is detailed in the related report.
Morningstar DBRS' credit rating on Notes addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are Interest Payment Amount, Cap Carryover Amount, and Note Amount.
Morningstar DBRS' credit rating on the Notes also addresses the credit risk associated with the increased rate of interest applicable to the Notes if the Notes are not redeemed on the Expected Redemption Date (as defined in and) in accordance with the applicable transaction document(s).
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 DBRS Morningstar 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, AND GOVERNANCE CONSIDERATIONS
Environmental (E) Factors
There were no Environmental factor(s) that had a relevant or significant effect on the credit analysis.
Social (S) Factors
There were no Social factor(s) that had a relevant or significant effect on the credit analysis.
Governance (G) Factors
There were no Governance factor(s) that had a relevant or significant 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 Risk Factors in Credit Ratings (
Notes:
All figures are in US Dollars unless otherwise noted.
The principal methodology applicable to the credit ratings is RMBS Insight 1.3:
Other methodologies referenced in this transaction 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.
This is a solicited credit rating.
A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of the final credit ratings on the above-mentioned securities are subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.
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.
Assessing
Interest Rate Stresses for
Third-Party Due-Diligence Criteria for
Representations and Warranties Criteria for
Legal Criteria for
Operational Risk Assessment for
Operational Risk Assessment for
For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.
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