Press Release

Morningstar DBRS Takes Credit Rating Actions on 21 U.S. RMBS Transactions

RMBS
May 10, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 205 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 21 transactions reviewed, 20 are classified as legacy RMBS backed by prime, subprime, or Alt-A collateral and one is classified as non-Qualified Mortgage. Of the 205 classes reviewed, Morningstar DBRS upgraded its credit ratings on 17 classes and confirmed its credit ratings on 188 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 March 2024 Update” published on March 27, 2024 (https://dbrs.morningstar.com/research/430189). 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 (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.com/research/410498.

Other methodologies referenced in this transaction 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) additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress, (2) actual deal or tranche performance not fully reflected in projected cash flows/model output, or (3) a small loan count.

The below tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.

-- Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1, Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-5
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-2
-- J.P. Morgan Mortgage Trust 2005-A4 Mortgage Pass-Through Certificates, Series 2005-A4, Class B-1
-- Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-2
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 1-A3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 1-A4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 2-A3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 2-A4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A6
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A5
-- MFA 2023-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2023-NQM2, Class B-1
-- MFA 2023-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2023-NQM2, Class B-2

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

-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M3
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass-Through Certificates, Series 2005-HE2, Class M4
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M5
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M5
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-3
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-4
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-5
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-6
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-6
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-2
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class I/II-M4
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-6
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class B-1
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-4
-- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-4

The below tranches materially deviate because of a small loan count.

-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 4-A-2

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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New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of these transactions 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 (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205

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

Ratings

Argent Securities Inc. Series 2004-W11
Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2
Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8
Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5
Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1
Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9
Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4
Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5
Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6
Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7
Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3
J.P. Morgan Mortgage Trust 2005-A4
Long Beach Mortgage Loan Trust 2005-WL1
MFA 2023-NQM2 Trust
Securitized Asset Backed Receivables LLC Trust 2006-FR1
Securitized Asset Backed Receivables LLC Trust 2006-OP1
Securitized Asset Backed Receivables LLC Trust 2006-WM1
Soundview Home Loan Trust 2005-3
Structured Asset Investment Loan Trust, Series 2004-11
Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3
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  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
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  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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