DBRS Morningstar Takes Credit Rating Actions on 136 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 1,305 classes from 136 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of seasoned, non-qualified mortgage, net interest margin, and home equity line of credit collateral. In addition, some of the transactions are 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 1,305 classes reviewed, DBRS Morningstar upgraded credit ratings on 468 classes and confirmed credit ratings on 836 classes. One of the credit ratings was downgraded to ‘D’ and subsequently ‘Discontinued’.

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

The credit 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 methodologies applicable to the credit ratings are 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 credit 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.

-- Angel Oak Mortgage Trust I 2019-2, Mortgage-Backed Certificates, Series 2019-2, Class B-2
-- Angel Oak Mortgage Trust I, LLC 2018-3, Mortgage-Backed Certificates, Series 2018-3, Class B-1
-- Angel Oak Mortgage Trust I, LLC 2019-1, Mortgage-Backed Certificates, Series 2019-1, Class B-2
-- Arroyo Mortgage Trust 2021-1R, Mortgage-Backed Notes, Series 2021-1R, Class B-2
-- Bunker Hill Loan Depositary Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-1
-- Bunker Hill Loan Depositary Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class M-1
-- FREED Mortgage Trust 2022-HE1, Mortgage-Backed Notes, Series 2022-HE1, Class B
-- FREED Mortgage Trust 2022-HE1, Mortgage-Backed Notes, Series 2022-HE1, Class C
-- Galton Funding Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B5
-- MFA 2020-NQM3 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM3, Class B-1
-- MFA 2020-NQM3 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM3, Class B-2
-- MFA 2020-NQM3 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM3, Class M-1
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-4
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-5
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-4
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-4
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-4
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-3
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5
-- New Residential Mortgage Loan Trust 2019-NQM4, Mortgage-Backed Notes, Series 2019-NQM4, Class M-1
-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class B-4
-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class B-5
-- Velocity Commercial Capital Loan Trust 2021-4, Mortgage-Backed Certificates, Series 2021-4, Class M-1
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M-2
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M-3
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M-5
-- Verus Securitization Trust 2021-R1, Mortgage-Backed Notes, Series 2021-R1, Class B-1
-- Verus Securitization Trust 2021-R1, Mortgage-Backed Notes, Series 2021-R1, Class B-2
-- Verus Securitization Trust 2021-R1, Mortgage-Backed Notes, Series 2021-R1, Class M-1

The below tranches materially deviate due to actual deal or tranche performance not being fully reflected in the projected cashflows/model output.

-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A-1
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-1
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A-1
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-1
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2

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

-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A-1A
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A-1B
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A-1C
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A1-IOA
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A1-IOB
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A1-IOC
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A-2
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class A-IO
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-1A
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-1B
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-1C
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B1-IO
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B1-IOA
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B1-IOB
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B1-IOC
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-4A
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B-5A
-- New Residential Mortgage Loan Trust 2017-1, Mortgage-Backed Notes, Series 2017-1, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A-1A
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A-1B
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A-1C
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A1-IOA
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A1-IOB
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A1-IOC
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class A-IO
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4A
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4B
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-4C
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B4-IOB
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B4-IOC
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5A
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5B
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5C
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B-5D
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOC
-- New Residential Mortgage Loan Trust 2017-3, Mortgage-Backed Notes, Series 2017-3, Class B5-IOD
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3C
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B3-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B3-IOB
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B3-IOC
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOB
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4A
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4B
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-4C
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5A
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5B
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5C
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-5D
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-1, Mortgage-Backed Notes, Series 2018-1, Class B-7
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5D
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-7
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class A-2
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-1A
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-1B
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-1C
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-1D
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B1-IO
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B1-IOA
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B1-IOB
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B1-IOC
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2A
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2B
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2C
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2D
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IO
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IOA
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IOB
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IOC
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-4A
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-4B
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-4C
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5A
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5B
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5C
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-5D
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-4, Mortgage-Backed Notes, Series 2018-4, Class B-7
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-4A
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-4B
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-4C
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5A
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5B
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5C
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-5D
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-5, Mortgage-Backed Notes, Series 2018-5, Class B-7
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-4A
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-4B
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-4C
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B4-IOB
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B4-IOC
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5A
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5B
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5C
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-5D
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOB
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOC
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B5-IOD
-- New Residential Mortgage Loan Trust 2019-2, Mortgage-Backed Notes, Series 2019-2, Class B-7
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4A
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4B
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-4C
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B4-IOA
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B4-IOB
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B4-IOC
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5A
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5B
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5C
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-5D
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOA
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOB
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOC
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B5-IOD
-- New Residential Mortgage Loan Trust 2019-3, Mortgage-Backed Notes, Series 2019-3, Class B-7
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-3A
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-3B
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-3C
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-3D
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B3-IO
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B3-IOA
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B3-IOB
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B3-IOC
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5A
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5B
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5C
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-5D
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOA
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOB
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOC
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B5-IOD
-- New Residential Mortgage Loan Trust 2019-6, Mortgage-Backed Notes, Series 2019-6, Class B-7
-- Velocity Commercial Capital Loan Trust 2021-4, Mortgage-Backed Certificates, Series 2021-4, Class M1-A
-- Velocity Commercial Capital Loan Trust 2021-4, Mortgage-Backed Certificates, Series 2021-4, Class M1-IO
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M2-A
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M2-IO
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M3-A
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M3-IO
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M5-A
-- Velocity Commercial Capital Loan Trust 2023-1, Mortgage-Backed Certificates, Series 2023-1, Class M5-IO

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

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

This is a solicited credit rating.

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The credit 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 (August 31, 2023) https://www.dbrsmorningstar.com/research/420108

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 info@dbrsmorningstar.com.