Morningstar DBRS Takes Credit Rating Actions on 37 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 406 classes from 37 U.S. residential mortgage-backed securities (RMBS) transactions. The 37 transactions consist of legacy Prime, Subprime, ALT-A, Second lien, and Scratch & Dent collateral. Of the 406 classes reviewed, Morningstar DBRS upgraded its credit ratings on 18 classes and confirmed its credit ratings on 388 classes.

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 transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published on December 19, 2023 (https://dbrs.morningstar.com/research/425506). 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 March 3, 2023.

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 credit 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, AND 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 Risk Factors in Credit Ratings at (January 23, 2023), https://dbrs.morningstar.com/research/427030.

Notes:
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.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. 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 below varies among tranches having (1) a small remaining mortgage loan count, (2) additional seasoning and/or updated performance being warranted to substantiate a further upgrade, (3) actual deal or tranche performance not fully reflected in projected cash flows/model output, or (4) dependency on another rating (such as interest only tranche or exchangeable tranche).

The below tranches materially deviate because of a small remaining mortgage loan count:

-- 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
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-A-2-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-A-2-2
-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class A-1

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

-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-6
-- Accredited Mortgage Loan Trust 2006-1, Asset-Backed Notes, Series 2006-1, Class M-1
-- Aegis Asset Backed Securities Trust 2005-2, Mortgage-Backed Notes, Series 2005-2, Class M4
-- 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
-- SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class A-1
-- SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class A-2
-- SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class A-3C
-- SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class A-3D
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A6
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A2
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A4

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

-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-7
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-8
-- 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
-- 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
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 5-A-1
-- 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 2005-1, Asset-Backed Notes, Series 2005-1, Class M-6
-- 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 2007-2, Asset-Backed Certificates, Series 2007-2, Class II-A-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-2, Asset-Backed Certificates, Series 2007-2, Class II-A-2
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-2, Asset-Backed Certificates, Series 2007-2, Class II-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-2, Asset-Backed Certificates, Series 2007-2, Class II-A-4
-- Structured Asset Investment Loan Trust, Series 2006-BNC3, Mortgage Pass-Through Certificates, Series 2006-BNC3, Class A3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2006-BC2, Mortgage Pass-Through Certificates, Series 2006-BC2, Class A3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class M1

The below tranche materially deviated because of dependency on another credit rating (such as an interest-only tranche or exchangeable tranche):

-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-A

The credit ratings were initiated at the request of the rated entity.

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.

DBRS, Inc.
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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 and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108

-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023), https://dbrs.morningstar.com/research/415687

-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081

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