Press Release

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

RMBS
February 14, 2023

DBRS, Inc. (DBRS Morningstar) reviewed 246 classes from 23 U.S. residential mortgage-backed security (RMBS) transactions. Of the 246 classes reviewed, DBRS Morningstar upgraded 56 ratings, confirmed 189 ratings, and discontinued one rating.

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 discontinued rating reflects the full repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of subprime, Alt-A, and HELOC collateral.

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.

-- Aegis Asset Backed Securities Trust 2005-2, Mortgage-Backed Notes, Series 2005-2, Class M3
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-6
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-7
-- Accredited Mortgage Loan Trust 2006-1, Asset-Backed Notes, Series 2006-1, Class M-1
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1, Asset-Backed Pass-Through Certificates, Series 2005-RM1, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-2
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-5
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-6
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-7
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-8
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-9
-- Citigroup Mortgage Loan Trust Inc., Series 2005-WF2 , Asset-Backed Pass-Through Certificates, Series 2005-WF2, Class MV-4
-- Citigroup Mortgage Loan Trust Inc., Series 2005-WF2 , Asset-Backed Pass-Through Certificates, Series 2005-WF2, Class MV-5
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class M-2
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class M-3
-- First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-1
-- First Franklin Mortgage Loan Trust, Series 2005-FF1, Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-2
-- First Franklin Mortgage Loan Trust, Series 2005-FF1, Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-3
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2, Mortgage Pass-Through Certificates, Series 2005-WMC2, Class M-3
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2, Mortgage Pass-Through Certificates, Series 2005-WMC2, Class M-4
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC3, Mortgage Pass-Through Certificates, Series 2005-WMC3, Class M-5
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage Pass-Through Certificates, Series 2005-WMC5, Class M-5
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage Pass-Through Certificates, Series 2005-WMC5, Class M-6
-- New Century Home Equity Loan Trust 2005-1 , Asset-Backed Notes, Series 2005-1, Class M-1
-- New Century Home Equity Loan Trust 2005-1 , Asset-Backed Notes, Series 2005-1, Class M-2
-- New Century Home Equity Loan Trust 2005-1 , Asset-Backed Notes, Series 2005-1, Class M-3
-- New Century Home Equity Loan Trust 2005-1 , Asset-Backed Notes, Series 2005-1, Class M-4
-- New Century Home Equity Loan Trust 2005-1 , Asset-Backed Notes, Series 2005-1, Class M-5
-- New Century Home Equity Loan Trust 2005-3 , Asset-Backed Notes, Series 2005-3, Class M-4
-- New Century Home Equity Loan Trust 2005-3 , Asset-Backed Notes, Series 2005-3, Class M-5
-- New Century Home Equity Loan Trust 2005-3 , Asset-Backed Notes, Series 2005-3, Class M-6
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class I-A
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class II-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class II-A-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Class M-1
-- BRAVO Residential Funding Trust 2021-HE1, Mortgage-Backed Notes, Series 2021-HE1, Class M-1
-- BRAVO Residential Funding Trust 2021-HE1, Mortgage-Backed Notes, Series 2021-HE1, Class B-1
-- BRAVO Residential Funding Trust 2021-HE1, Mortgage-Backed Notes, Series 2021-HE1, Class B-2
-- BRAVO Residential Funding Trust 2021-HE2, Mortgage-Backed Notes, Series 2021-HE1, Class M-1
-- BRAVO Residential Funding Trust 2021-HE2, Mortgage-Backed Notes, Series 2021-HE1, Class B-1
-- BRAVO Residential Funding Trust 2021-HE2, Mortgage-Backed Notes, Series 2021-HE1, Class B-2
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M-2
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-1
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-2
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M-2-A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M-2-A-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M-2-B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M-2-B-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M-2-C
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M-2-C-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-1-A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-1-A-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-1-B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-1-B-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-1-C
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-1-C-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-2-A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-2-A-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-2-B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-2-B-X
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-2-C
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B-2-C-X

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022 (https://www.dbrsmorningstar.com/research/402907). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

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 (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is U.S. RMBS Surveillance Methodology (February 21, 2020; https://www.dbrsmorningstar.com/research/357249).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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.

DBRS, Inc.
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New York, NY 10005 USA
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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 (April 1, 2020; https://www.dbrsmorningstar.com/research/359116).

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022; https://www.dbrsmorningstar.com/research/402153).

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

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.