Press Release
Morningstar DBRS Takes Credit Rating Actions on 17 U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed 123 classes from 17 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 17 transactions reviewed, 15 are classified as Non-QM, one as Warehouse Facility, and one as Home Equity Line of Credit (HELOC). Of the 123 classes reviewed, Morningstar DBRS upgraded its credit ratings on 61 classes and confirmed its credit ratings on 62 classes.
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.
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 credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.
The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns June 2024 Update" published on June 28, 2024, (https://dbrs.morningstar.com/research/435206) 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.
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 Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings August 13, 2024, (https://dbrs.morningstar.com/research/437781).
Notes:
All figures are in U.S. dollars unless otherwise noted.
The principal methodologies applicable to the credit ratings is U.S. RMBS Surveillance Methodology ( June 28, 2024) https://dbrs.morningstar.com/research/435291.
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 stress(es) 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 additional seasoning and/or updated performance is to be measured against a sustainable upgrade loan level cash flow stress:
-- PRKCM 2021-AFC1 Trust, Mortgage-Backed Notes, Series 2021-AFC1, Class B-1
-- PRKCM 2021-AFC1 Trust, Mortgage-Backed Notes, Series 2021-AFC1, Class B-2
-- Verus Securitization Trust 2021-6, Mortgage-Backed Notes, Series 2021-6, Class B-1
-- Verus Securitization Trust 2021-6, Mortgage-Backed Notes, Series 2021-6, Class B-2
-- Verus Securitization Trust 2021-R1, Mortgage-Backed Notes, Series 2021-R1, Class B-2
-- MFA 2023-INV2 Trust, Mortgage Pass-Through Certificates, Series 2023-INV2, Class M-1
The credit ratings were initiated at the request of the rated entity. The credit rating was not initiated at the request of a third party.
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.
These are solicited credit 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 and Rating Methodology (June 28, 2024; https://dbrs.morningstar.com/research/435279)
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 (April 15, 2024; https://dbrs.morningstar.com/research/431205)
For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.
Ratings
MFA 2020-NQM3 Trust
MFA 2021-INV2 Trust
MFA 2022-NQM1 Trust
MFA 2022-NQM3 Trust
MFA 2023-INV2 Trust
Mello Warehouse Securitization Trust 2021-3
PRKCM 2021-AFC1 Trust
PRKCM 2022-AFC2 Trust
PRKCM 2023-AFC3 Trust
Saluda Grade Alternative Mortgage Trust 2023-FIG3
Starwood Mortgage Residential Trust 2019-INV1
Starwood Mortgage Residential Trust 2020-2
Starwood Mortgage Residential Trust 2022-2
Verus Securitization Trust 2019-4
Verus Securitization Trust 2021-6
Verus Securitization Trust 2021-8
Verus Securitization Trust 2021-R1
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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Related Documents
Methodology Used:
Other:
Contacts
Cathlene H. Hyun
Senior Vice President - US RMBS Ratings, Surveillance
+(1) 212 806 3247
cathlene.hyun@morningstar.com- Jan Buckler
Senior Vice President, Sector Lead - Global Structured Finance Ratings
+(1) 212 806 3925
jan.buckler@morningstar.com - Claire Mezzanotte
Group Managing Director, Global Head of Structured Finance Ratings - Credit Ratings Leadership
+(1) 212 806 3272
claire.mezzanotte@morningstar.com