Press Release
Morningstar DBRS Takes Credit Rating Actions on 31 U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed 214 classes from 31 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 31 transactions reviewed, 16 are classified as non-qualified mortgage transactions, and 15 are classified as seasoned or re-performing loans. Of the 214 classes reviewed, Morningstar DBRS upgraded its credit ratings on 62 classes and confirmed its credit ratings on 152 classes.
CREDIT RATING RATIONALE/DESCRIPTION
The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. 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 2024 Update" published on December 19, 2024 (https://dbrs.morningstar.com/research/444924). 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 (https://dbrs.morningstar.com/research/435291).
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.
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) at https://dbrs.morningstar.com/research/437781.
Notes:
All figures are in U.S. dollars unless otherwise noted.
The principal methodology applicable to the credit ratings is U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291.
Other methodologies referenced in this transaction 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 below tranches materially deviate because additional seasoning and/or updated performance is to be measured against a sustainable upgrade loan level cash flow stress:
-- 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-2
-- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class M-1
-- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-1
-- Verus Securitization Trust 2021-4, Mortgage-Backed Notes, Series 2021-4, Class B-2
-- 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
-- PRPM 2024-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2024-NQM1, Class A-3
-- PRPM 2024-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2024-NQM1, Class M-1
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class B-2
The below tranches materially deviate because actual deal or tranche performance is not fully reflected in projected cashflows / model output
-- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class A-4
-- Legacy Mortgage Asset Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class M-1
-- A&D Mortgage Trust 2023-NQM3, Mortgage Pass-Through Certificates, Series 2023-NQM3, Class A-1
-- A&D Mortgage Trust 2023-NQM3, Mortgage Pass-Through Certificates, Series 2023-NQM3, Class A-2
-- A&D Mortgage Trust 2023-NQM3, Mortgage Pass-Through Certificates, Series 2023-NQM3, Class A-3
The credit ratings were 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.
DBRS, Inc.
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Tel. +1 212 806-3277
The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.
-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (January 02, 2025), https://dbrs.morningstar.com/research/445477
-- 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 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 this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.
Ratings
A&D Mortgage Trust 2023-NQM3
GCAT 2019-RPL1 Trust
Grove Funding III Trust 2024-1
Legacy Mortgage Asset Trust 2020-RPL1
MFA 2021-NQM1 Trust
MFA 2022-INV1 Trust
MetLife Securitization Trust 2019-1
MetLife Securitization Trust, 2017-1
Mill City Mortgage Loan Trust 2016-1
Mill City Mortgage Loan Trust 2017-1
Mill City Mortgage Loan Trust 2017-2
Mill City Mortgage Loan Trust 2017-3
Mill City Mortgage Loan Trust 2018-1
Mill City Mortgage Loan Trust 2018-2
Mill City Mortgage Loan Trust 2018-3
Mill City Mortgage Loan Trust 2018-4
Mill City Mortgage Loan Trust 2019-1
Mill City Mortgage Loan Trust 2019-GS1
Mill City Mortgage Loan Trust 2019-GS2
Mill City Mortgage Loan Trust 2023-NQM2
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- Sherwin Clarke
Vice President - US RMBS Ratings, Surveillance
+(1) 212 806 3278
sherwin.clarke@morningstar.com - Jan Buckler
Senior Vice President, Sector Lead - Global Structured Finance Ratings
+(1) 212 806 3925
jan.buckler@morningstar.com