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

DBRS, Inc. (DBRS Morningstar) reviewed 393 classes from 37 U.S. residential mortgage-backed securities (RMBS) transactions. These transactions consist of subprime, second lien, prime, option ARM, ALT-A collateral, fixed- and adjustable-rate, first-lien residential mortgages collateralized by investor properties with one to four units (residential investor loans) and small-balance commercial mortgages (SBC) collateralized by various types of commercial, multifamily rental, and mixed-use properties. Of the 393 classes reviewed, DBRS Morningstar upgraded two credit ratings and confirmed 391 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 credit rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023, and its “North American CMBS Surveillance Methodology,” published on March 16, 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 methodologies applicable to the credit ratings are the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498) and North American CMBS Surveillance Methodology (March 16, 2023; https://www.dbrsmorningstar.com/research/410912)

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 is additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.

--EquiFirst Loan Securitization Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1, Class A-2B
--EquiFirst Loan Securitization Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1, Class A-2C
--First Franklin Mortgage Loan Trust 2006-FF2, Mortgage Pass-Through Certificates, Series 2006-FF2, Class A1
--First Franklin Mortgage Loan Trust 2006-FF2, Mortgage Pass-Through Certificates, Series 2006-FF2, Class A5
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M-2
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M-3
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M-4
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M-5
--Impac CMB Grantor Trust 2005-1-1, Collateralized Asset-Backed Grantor Trust Certificates, Series 2005-1, Class M-1
--Impac CMB Grantor Trust 2005-1-2, Collateralized Asset-Backed Grantor Trust Certificates, Series 2005-1, Class M-2

The below tranches materially deviate because of dependency on another rating (such as interest-only tranche or exchangeable tranche).

--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M2-A
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M2-IO
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M3-A
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M3-IO
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M4-A
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M4-IO
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M5-A
--Velocity Commercial Capital Loan Trust 2022-5, Mortgage-Backed Certificates, Series 2022-5, Class M5-IO

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 credit 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/410473

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023) https://www.dbrsmorningstar.com/research/402153

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 info@dbrsmorningstar.com.