Morningstar DBRS Takes Credit Rating Actions on 25 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 219 classes in 25 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of non-qualified, re-performing, and small-balance commercial mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties. Of the 219 classes reviewed, Morningstar DBRS upgraded 93 credit ratings and confirmed 126 credit ratings.

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: December 2023 Update,” published on December 19, 2023 (https://dbrs.morningstar.com/research/425506). 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 March 3, 2023, and its “North American CMBS Surveillance Methodology,” published on March 16, 2023.

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, 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 DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (January 23, 2024), https://dbrs.morningstar.com/research/427030.

Notes:
The principal methodologies applicable to the credit ratings are the U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.com/research/410498 and the North American CMBS Surveillance Methodology (March 1, 2024), https://www.dbrsmorningstar.com/research/428798 .

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 below is additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.

-- MFA 2021-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-1
-- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class M-1
-- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class B-1
-- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class B-2
-- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1
-- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2
-- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class M-1
-- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class B-1
-- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class B-2
-- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class M1
-- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class B1
-- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class B2
-- Mill City Mortgage Loan Trust 2023-NQM2, Mortgage-Backed Certificates, Series 2023-NQM2, Class A-2
-- Mill City Mortgage Loan Trust 2023-NQM2, Mortgage-Backed Certificates, Series 2023-NQM2, Class B-1
-- Mill City Mortgage Loan Trust 2023-NQM2, Mortgage-Backed Certificates, Series 2023-NQM2, Class B-2
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class M-1
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class B-1
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class B-2
-- Citigroup Mortgage Loan Trust 2019-RP1, Mortgage-Backed Notes, Series 2019-RP1, Class M-3
-- Citigroup Mortgage Loan Trust 2021-RP2, Mortgage-Backed Notes, Series 2021-RP2, Class B-1
-- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class B-1
-- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class B-2
-- Citigroup Mortgage Loan Trust 2021-RP3, Mortgage-Backed Notes, Series 2021-RP3, Class B-3
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class M-2
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class B-1
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class B-2
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class B-3
-- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class B1
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-1
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-2
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-3
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-4
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-5
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M-2

The rationale for the material deviations is due to their dependence on another rating (such as an interest-only tranche or exchangeable tranche).

-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class A-5
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M1-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M1-IO
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M2-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M2-IO
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M3-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M3-IO
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M4-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M4-IO
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M5-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M5-IO
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M2-A
-- Velocity Commercial Capital Loan Trust 2022-3, Mortgage-Backed Certificates, Series 2022-3, Class M2-IO

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.

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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 and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623

-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081

For more information on these credits or on this industry, visit dbrs.morningstar.com or contact us at [email protected].