DBRS Morningstar Takes Rating Actions on 34 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 405 classes from 34 U.S. residential mortgage-backed securities (RMBS) and ReREMIC transactions. Of the 405 classes reviewed, DBRS Morningstar upgraded 13 ratings and confirmed 392 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 pools backing the reviewed RMBS and ReREMIC transactions consist of prime, Alt-A, subprime, and option adjustable-rate mortgage collateral.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update,” published on June 30, 2023 (https://www.dbrsmorningstar.com/research/416703). 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 March 3, 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 credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498).

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. 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 below are due to additional seasoning and/or updated performance being warranted to substantiate a further upgrade.

The below tranches materially deviate because of additional seasoning and/or updated performance being warranted to substantiate a further upgrade:

-- CIM Trust 2018-J1, Mortgage Pass-Through Certificates, Series 2018-J1, Class B-3
-- CIM Trust 2018-J1, Mortgage Pass-Through Certificates, Series 2018-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A7
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B3
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-3
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-4
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-5
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class M-1
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class M-2
-- Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3, Mortgage Pass-Through Certificates, Series 2005-AR3, Class III-A-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M-5
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M-6
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-WF1, Class M-3
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-5
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-6
-- Securitized Asset Backed Receivables LLC Trust 2006-WM2, Mortgage Pass-Through Certificates, Series 2006-WM2, Class A-1
-- Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class A-1
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class M-1

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 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 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.

DBRS, Inc.
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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 9, 2023; https://www.dbrsmorningstar.com/research/418987)

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].