Press Release

Morningstar DBRS Takes Credit Rating Actions on 46 U.S. RMBS Transactions

RMBS
July 15, 2025

DBRS, Inc. (Morningstar DBRS) reviewed 365 classes from forty-six U.S. residential mortgage-backed securities (RMBS) transactions. Of the 46 transactions reviewed, six are classified as small-balance commercial mortgage transactions collateralized by various types of commercial, multifamily rental, and mixed-use properties, three are classified as a securitization of a revolving portfolio of residential transition loans (RTLs), and the remaining 37 deals are classified as Non-QM. Of the 365 classes reviewed, Morningstar DBRS upgraded its credit ratings on 61 classes and confirmed its credit ratings on the remaining 304 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 March 2025 Update" published on March 26, 2025 (https://dbrs.morningstar.com/research/450604). 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 "Rating U.S. Structured Finance Transactions - Appendix XVIII: U.S. Small Business," published on March 10, 2025 (https://dbrs.morningstar.com/research/449616).

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 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, 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 (May 16, 2025) at https://dbrs.morningstar.com/research/454196.

Notes:
All figures are in US Dollars unless otherwise noted.

The principal methodologies applicable to the credit ratings are U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291 and North American CMBS Surveillance Methodology (February 28, 2025) https://dbrs.morningstar.com/research/448963 and Rating U.S. Structured Finance Transactions - Appendix XVIII: U.S. Small Business (March 10, 2025) https://dbrs.morningstar.com/research/449616.

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 stresses 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 needs to be measured against a sustainable upgrade loan-level cash flow stress.

-- 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-4
-- Velocity Commercial Capital Loan Trust 2021-3, Mortgage-Backed Certificates, Series 2021-3, Class M-5
-- Velocity Commercial Capital Loan Trust 2023-3, Mortgage-Backed Certificates, Series 2023-3, Class M-1
-- CHNGE Mortgage Trust 2023-4, Mortgage Pass-Through Certificates, Series 2023-4, Class B-1
-- CHNGE Mortgage Trust 2023-4, Mortgage Pass-Through Certificates, Series 2023-4, Class B-2
-- PRKCM 2021-AFC1 Trust, Mortgage-Backed Notes, Series 2021-AFC1, Class M-1
-- 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-R1, Mortgage-Backed Notes, Series 2021-R1, Class B-2
-- BRAVO Residential Funding Trust 2024-NQM5, Mortgage-Backed Notes, Series 2024-NQM5, Class B-2
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M-1
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M-2
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M-5
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M-6
-- CHNGE Mortgage Trust 2023-1, Mortgage Pass-Through Certificates, Series 2023-1, Class M-1
-- CHNGE Mortgage Trust 2023-1, Mortgage Pass-Through Certificates, Series 2023-1, Class B-1
-- CHNGE Mortgage Trust 2023-1, Mortgage Pass-Through Certificates, Series 2023-1, Class B-2
-- CHNGE Mortgage Trust 2023-4, Mortgage Pass-Through Certificates, Series 2023-4, Class A-3
-- CHNGE Mortgage Trust 2023-4, Mortgage Pass-Through Certificates, Series 2023-4, Class M-1

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

-- Velocity Commercial Capital Loan Trust 2021-3, 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 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 2023-3, Mortgage-Backed Certificates, Series 2023-3, Class M1-A
-- Velocity Commercial Capital Loan Trust 2023-3, Mortgage-Backed Certificates, Series 2023-3, Class M1-IO
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M1-A
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M1-IO
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M2-A
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M2-IO
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M5-A
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M5-IO
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M6-A
-- Velocity Commercial Capital Loan Trust 2024-4, Mortgage-Backed Certificates, Series 2024-4, Class M6-IO
-- CHNGE Mortgage Trust 2023-4, Mortgage Pass-Through Certificates, Series 2023-4, Class A-4

The below tranches materially deviate due to small loan counts.

-- CTDL 2020-1 Trust, Mortgage Pass-Through Certificates, Series 2020-1, Class A-1
-- CTDL 2020-1 Trust, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1

The credit ratings are 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.

For more information on Morningstar DBRS' policy regarding the solicitation status of credit ratings, please refer to the Credit Ratings Global Policy, which can be found in the Morningstar DBRS Understanding Ratings section of the website: https://dbrs.morningstar.com/understanding-ratings

DBRS, Inc.
140 Broadway, 43rd Floor
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 (Version 1.3.29.1),
https://dbrs.morningstar.com/research/445477

-- Interest Rate Stresses for U.S. Structured Finance Transactions (March 27, 2025),
https://dbrs.morningstar.com/research/450750

-- 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 these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

Angel Oak Mortgage Trust 2019-5
Angel Oak Mortgage Trust 2019-6
Angel Oak Mortgage Trust I 2019-2
Angel Oak Mortgage Trust I, LLC 2018-3
Angel Oak Mortgage Trust I, LLC 2019-1
BRAVO Residential Funding Trust 2021-NQM3
BRAVO Residential Funding Trust 2022-NQM1
BRAVO Residential Funding Trust 2022-NQM3
BRAVO Residential Funding Trust 2024-NQM5
Barclays Mortgage Loan Trust 2021-NQM1
CHNGE Mortgage Trust 2022-5
CHNGE Mortgage Trust 2022-NQM1
CHNGE Mortgage Trust 2023-1
CHNGE Mortgage Trust 2023-4
CTDL 2020-1 Trust
GCAT 2022-NQM4 Trust
Galton Funding Mortgage Trust 2020-H1
Homeward Opportunities Fund Trust 2022-1
Homeward Opportunities Fund Trust 2024-RRTL2
J.P. Morgan Mortgage Trust 2023-DSC2
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  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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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