DBRS Morningstar Takes Rating Actions on 71 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 632 classes from 71 U.S. residential mortgage-backed security (RMBS) transactions. Of the 632 classes reviewed, DBRS Morningstar upgraded 20 ratings, confirmed 462 ratings, downgraded five ratings, and discontinued 145 ratings. In addition, of the confirmed ratings, DBRS Morningstar removed 14 from Under Review with Negative Implications.

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 rating downgrades reflect the unlikely recovery of the bonds’ accumulated interest shortfall amount. The discontinued ratings reflect the full repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of Prime, Alt-A, Option-Adjustable-Rate-Mortgage, Scratch and Dent, Second-Lien, Reperforming, Seasoned, Agency, Mortgage Insurance, and Single Family Rental 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 or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output.

-- Accredited Mortgage Loan Trust 2006-1, Asset-Backed Notes, Series 2006-1, Class A-4
-- 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 M3
-- Aegis Asset Backed Securities Trust 2005-2, Mortgage-Backed Notes, Series 2005-2, Class M4
-- BRAVO Residential Funding Trust 2021-HE1, Mortgage-Backed Notes, Series 2021-HE1, Class A-3
-- 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-HE1, Mortgage-Backed Notes, Series 2021-HE1, Class M-1
-- BRAVO Residential Funding Trust 2021-HE2, Mortgage-Backed Notes, Series 2021-HE2, Class A-3
-- BRAVO Residential Funding Trust 2021-HE2, Mortgage-Backed Notes, Series 2021-HE2, Class B-1
-- BRAVO Residential Funding Trust 2021-HE2, Mortgage-Backed Notes, Series 2021-HE2, Class B-2
-- BRAVO Residential Funding Trust 2021-HE2, Mortgage-Backed Notes, Series 2021-HE2, Class M-1
-- 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
-- First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-1
-- Flagstar Mortgage Trust 2019-2, Mortgage Pass-Through Certificates, Series 2019-2, Class B-2
-- Flagstar Mortgage Trust 2019-2, Mortgage Pass-Through Certificates, Series 2019-2, Class B-4
-- Flagstar Mortgage Trust 2019-2, Mortgage Pass-Through Certificates, Series 2019-2, Class B-5
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage Pass-Through Certificates, Series 2005-WMC5, Class B-1
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC5, Mortgage Pass-Through Certificates, Series 2005-WMC5, Class B-2
-- 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 Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-1
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-1A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-1B
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-1C
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A1-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A1-IOB
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A1-IOC
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-2
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-3
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-4
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-5
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-6
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class A-IO
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B1
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-1A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-1B
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-1C
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B1-IO
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B1-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B1-IOB
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B1-IOC
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class A-2
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-1
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-1A
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-1B
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-1C
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B1-IO
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B1-IOA
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B1-IOB
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B1-IOC
-- 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 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
-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class A-1
-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-A
-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-B
-- 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 A4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A5
-- 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 A1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A4
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class A3
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class A4
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class A5
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B1
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B1A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B1AX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B1B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B1BX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B1C
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B1CX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2AX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2BX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2C
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class B2CX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M1
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M1A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M1AX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M1B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M1BX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M2
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M2A
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M2AX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M2B
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M2BX
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M2C
-- Towd Point HE Trust 2021-HE1, Asset-Backed Securities, Series 2021-HE1, Class M2CX

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its baseline scenario (“Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update,” published on December 9, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

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

ESG CONSIDERATIONS
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/373262.

Notes:
The principal methodologies are U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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