DBRS Morningstar Takes Rating Actions on Three U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 54 classes from three U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of 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 (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Of the 54 classes reviewed, DBRS Morningstar upgraded 12 ratings and confirmed 42 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings.

The rating actions are the result of DBRS Morningstar’s 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.

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/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498) and North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912).

Other methodologies referenced in these transactions are listed at the end of this press release.

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 credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar 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 is additional seasoning and/or updated performance to be measured against a sustainable upgrade loan level cash flow stress.

-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M-1
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M-2
-- 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 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-1
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-2
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-3
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-4
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-5
-- Velocity Commercial Capital Loan Trust 2022-4, Mortgage-Backed Certificates, Series 2022-4, Class M-2
-- Velocity Commercial Capital Loan Trust 2022-4, Mortgage-Backed Certificates, Series 2022-4, Class M-3

The below tranches materially deviate because dependency on another rating (such as interest only tranche or exchangeable tranche).

-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M1-A
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M1-IO
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M2-A
-- Velocity Commercial Capital Loan Trust 2021-2, Mortgage-Backed Certificates, Series 2021-2, Class M2-IO
-- 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 M1-A
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M1-IO
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M2-A
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M2-IO
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M3-A
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M3-IO
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M4-A
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M4-IO
-- 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
-- Velocity Commercial Capital Loan Trust 2022-4, Mortgage-Backed Certificates, Series 2022-4, Class M2-A
-- Velocity Commercial Capital Loan Trust 2022-4, Mortgage-Backed Certificates, Series 2022-4, Class M2-IO
-- Velocity Commercial Capital Loan Trust 2022-4, Mortgage-Backed Certificates, Series 2022-4, Class M3-A
-- Velocity Commercial Capital Loan Trust 2022-4, Mortgage-Backed Certificates, Series 2022-4, Class M3-IO

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

This is a solicited credit rating.

DBRS, Inc.
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Tel. +1 212 806-3277

The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023) https://www.dbrsmorningstar.com/research/410473

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023) https://www.dbrsmorningstar.com/research/415687

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008

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