Press Release

DBRS Morningstar Takes Rating Actions on 19 U.S. RMBS Transactions

RMBS
February 15, 2023

DBRS, Inc. (DBRS Morningstar) reviewed 308 classes from 19 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 308 classes reviewed, DBRS Morningstar upgraded 11 ratings and confirmed 297 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 transactions consist of prime, alt-a, subprime, scratch & dent, and second-lien mortgage 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.

-- 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 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-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class M1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class M2
-- 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
-- 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-3C
-- SG Mortgage Securities Trust 2006-OPT2, Asset-Backed Certificates, Series 2006-OPT2, Class A-3D
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3B
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3C
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOB
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOC
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-4
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-4A
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-4B
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-4C
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B4-IOB
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B4-IOC
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5A
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5B
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5C
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5D
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOC
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOD
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-7

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022 (https://www.dbrsmorningstar.com/research/407678). 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 February 21, 2020.

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/396929 (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is the U.S. RMBS Surveillance Methodology (February 21, 2020; https://www.dbrsmorningstar.com/research/357249).

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The 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 (April 1, 2020)
https://www.dbrsmorningstar.com/research/359116

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022)
https://www.dbrsmorningstar.com/research/402153

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

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.