DBRS Morningstar Confirms Ratings on Eight U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 72 classes from eight U.S. residential mortgage-backed security (RMBS) transactions. Of the 72 classes reviewed, DBRS Morningstar confirmed all 72 ratings.

The rating confirmations reflect asset performance and credit support levels that are consistent with the current ratings.

The pools backing the reviewed RMBS transactions consist of non-Qualified Mortgage and reperforming mortgage collateral and fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages collateralized by various types of commercial, multifamily rental, and mixed-use properties.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade.

-- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class A-3
-- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class M-1
-- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class B-1
-- Bravo Residential Funding Trust 2021-NQM2, Mortgage-Backed Notes, Series 2021-NQM2, Class B-2
-- Imperial Fund Mortgage Trust 2021-NQM2, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class B-2
-- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class A-3
-- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class M-1
-- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class B-1
-- MFA 2021-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM2, Class B-2
-- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class A-3
-- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class M-1
-- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class B-1
-- Verus Securitization Trust 2021-5, Mortgage-Backed Notes, Series 2021-5, Class B-2
-- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class M-1
-- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class M-2
-- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class B-1
-- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class B-2
-- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class A-4
-- GS Mortgage-Backed Securities Trust 2021-RPL2, Mortgage-Backed Securities Trust 2021-RPL2, Class A-5
-- PRPM 2021-RPL1, LLC, Asset Backed Notes, Series 2021-RPL1, Class A-2
-- PRPM 2021-RPL1, LLC, Asset Backed Notes, Series 2021-RPL1, Class M-1
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M-4
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M-5
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M4-A
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M4-IO
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M5-A
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M5-IO
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-5
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M5-A
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M5-IO

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. Because the option to forbear mortgage payments was so widely available at the onset of the pandemic, it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its baseline scenario (see “Baseline Macroeconomic Scenarios For Rated Sovereigns: June 2022 Update,” published on June 29, 2022), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020, and its “North American CMBS Surveillance Methodology,” published on March 4, 2022.

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 DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/396929.

Notes:
The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and North American CMBS Surveillance Methodology (March 4, 2022), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277