Morningstar DBRS Takes Credit Rating Actions on 23 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 246 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 23 transactions reviewed, six are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties, 16 are classified as re-performing mortgage transactions, and one is classified as RMBS backed by seasoned mortgages. Of the 246 classes reviewed, Morningstar DBRS upgraded its credit ratings on 44 classes and confirmed its credit ratings on 202 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), "North American CMBS Surveillance Methodology," published on February 28, 2025 (https://dbrs.morningstar.com/research/448963), and/or "Morningstar DBRS Master U.S. ABS Surveillance," published on January 10, 2025 (https://dbrs.morningstar.com/research/445740).

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 methodologies applicable to the credit ratings is U.S. RMBS Surveillance Methodology (June 28, 2024), https://dbrs.morningstar.com/research/435291 North American CMBS Surveillance Methodology (February 28, 2025), https://dbrs.morningstar.com/research/448963 and/or Morningstar DBRS Master U.S. ABS Surveillance (January 10, 2025), https://dbrs.morningstar.com/research/445740.

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 actual deal or tranche performance is not fully reflected in projected cashflows / model output:

-- 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

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:

-- Velocity Commercial Capital Loan Trust 2024-2, Mortgage-Backed Certificates, Series 2024-2, Class M-1
-- Velocity Commercial Capital Loan Trust 2024-2, Mortgage-Backed Certificates, Series 2024-2, Class M-2
-- Velocity Commercial Capital Loan Trust 2024-3, Mortgage-Backed Certificates, Series 2024-3, Class M-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 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
-- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class B-1
-- New Residential Mortgage Loan Trust 2019-RPL2, Mortgage-Backed Notes, Series 2019-RPL2, Class B-2
-- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class B-1
-- New Residential Mortgage Loan Trust 2019-RPL3, Mortgage-Backed Notes, Series 2019-RPL3, Class B-2
-- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-1
-- New Residential Mortgage Loan Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-2
-- New Residential Mortgage Loan Trust 2023-1, Mortgage-Backed Notes, Series 2023-1, Class B-4
-- New Residential Mortgage Loan Trust 2023-1, Mortgage-Backed Notes, Series 2023-1, Class B-5A
-- New Residential Mortgage Loan Trust 2023-1, Mortgage-Backed Notes, Series 2023-1, Class B-5B

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

-- 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 2024-2, Mortgage-Backed Certificates, Series 2024-2, Class M1-A
-- Velocity Commercial Capital Loan Trust 2024-2, Mortgage-Backed Certificates, Series 2024-2, Class M1-IO
-- Velocity Commercial Capital Loan Trust 2024-2, Mortgage-Backed Certificates, Series 2024-2, Class M2-A
-- Velocity Commercial Capital Loan Trust 2024-2, Mortgage-Backed Certificates, Series 2024-2, Class M2-IO
-- Velocity Commercial Capital Loan Trust 2024-3, Mortgage-Backed Certificates, Series 2024-3, Class M1-A
-- Velocity Commercial Capital Loan Trust 2024-3, Mortgage-Backed Certificates, Series 2024-3, Class M1-IO

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.