DBRS Morningstar Takes Credit Rating Actions on 48 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 539 classes from 48 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 48 transactions 41 are classified as pre-crisis transactions, three are classified as reperforming, two are classified as prime transactions, one is classified as Non-QM, and one is classified as HELOC. Of the 539 classes reviewed, DBRS Morningstar upgraded 35 credit ratings, confirmed 501 credit ratings, and discontinued three credit ratings.

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

The credit 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 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 below varies among tranches needing (1) additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress, (2) actual deal or tranche performance is not fully reflected in projected cashflows/model output, or (3) small loan count.

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

--Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-M-1
--C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-4
--C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AV-1
--C-BASS 2006-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB3, Class AV-4
--C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-4
--C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-4
--Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-2
--Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-3
--CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed Certificates, Series 2004-AB2, Class M-3
--Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class M1
--GSAMP Trust 2005-HE3, Mortgage Pass-Through Certificates, Series 2005-HE3, Class M-4
--Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8 Home Equity Pass-Through Certificates, Series 2005-8, Class M-2
--Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4 Home Equity Pass-Through Certificates, Series 2006-4, Class 2-A-4
--Morgan Stanley Capital I Inc. Trust 2006-NC2 Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-2d
--Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3 Asset-Backed Certificates, Series 2006-HE3, Class I-A-1
--Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-3
--Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-4
--PRMI Securitization Trust 2022-CMG1, Mortgage-Backed Notes, Series 2022-CMG1, Class A-3
--PRMI Securitization Trust 2022-CMG1, Mortgage-Backed Notes, Series 2022-CMG1, Class M-1
--PRMI Securitization Trust 2022-CMG1, Mortgage-Backed Notes, Series 2022-CMG1, Class B-1
--PRMI Securitization Trust 2022-CMG1, Mortgage-Backed Notes, Series 2022-CMG1, Class B-2
--CHNGE Mortgage Trust 2022-5, Mortgage Pass-Through Certificates, Series 2022-5, Class A-1
--CHNGE Mortgage Trust 2022-5, Mortgage Pass-Through Certificates, Series 2022-5, Class M-1
--NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class M-1
--NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class M-2
--NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class B-1
--NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class B-2

The below tranches materially deviate because actual deal or tranche performance is not fully reflected in projected cash flows/model output:

--BNC Mortgage Loan Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1, Class A1
--BNC Mortgage Loan Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1, Class A4
--BNC Mortgage Loan Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1, Class A5
--C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-1
--C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-2
--C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-1
--C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-2
--C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-3
--C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-1
--C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-2
--C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-3
--C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class B-1
--C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class B-2
--C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-1
--C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-2
--C-BASS 2005-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7, Class M-2
--C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class M-1
--C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-2
--C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-3
--C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-4
--C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-2
--C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-3
--C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-4
--C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8, Class A-1
--C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8, Class A-2C
--C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8, Class A-2D
--C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-2
--C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-3
--C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-1
--C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-2
--C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-3
--C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-4
--C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class M-1
--C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class M-2
--Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-4
--First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed Certificates, Series 2005-FFH3, Class M-4
--Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-2, Home Equity Pass-Through Certificates, Series 2006-2, Class M-1
--Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-6, Home Equity Pass-Through Certificates, Series 2006-6, Class 1-A-1
--Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-6, Home Equity Pass-Through Certificates, Series 2006-6, Class 2-A-3
--Meritage Mortgage Loan Trust 2005-2, Asset-Backed Certificates, Series 2005-2, Class M-3
--Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-4
--Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-5
--New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-1
--New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-2
--New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-6
--New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-1
--New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-2
--New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-4
--Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE1, Asset-Backed Certificates, Series 2006-HE1, Class M-2
--Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-4
--Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-5
--Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-6
--Park Place Securities Inc., Series 2005-WCH1, Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M-5
--Park Place Securities Inc., Series 2005-WCH1, Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M-6
--Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-2
--Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-3
--Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-4
--Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust, Home Equity Asset-Backed Certificates, Series 2007-2, Class A-3

The below material deviations are due to a small loan count:

--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-1
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-2
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 4-A-1
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-2
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-3
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB1
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB2
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 8-A-1
--J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 9-A-1

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.

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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 [email protected].