DBRS Takes Rating Actions on 32 U.S. RMBS Transactions
RMBSDBRS, Inc. (DBRS) reviewed 289 classes from 32 U.S. residential mortgage-backed security (RMBS) transactions. Of the 289 classes reviewed, DBRS upgraded seven ratings, confirmed 274 ratings, downgraded two ratings and discontinued six ratings.
The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. For transactions where the ratings have been confirmed, current asset performance and credit-support levels are consistent with the current ratings. The rating downgrades reflect the transactions’ negative trends in delinquency and projected loss activity. The discontinued ratings are the result of full repayment of principal to bondholders.
The rating actions are a result of DBRS’s application of the “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” published in September 2018.
The pools backing these RMBS transactions consist of prime, subprime and option adjustable-rate mortgage (ARM) collateral.
The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect actual deal or tranche performance that is not fully reflected in the projected cashflows or model output.
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2D
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2C
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-1
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-2
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-3
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-4
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-3
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-4
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-5
-- Accredited Mortgage Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-6
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-2
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-3
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-4
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-5
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M-5
-- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset-Backed Pass-Through Certificates, Series 2004-R7, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset-Backed Pass-Through Certificates, Series 2004-R7, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset-Backed Pass-Through Certificates, Series 2004-R7, Class M-5
-- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset-Backed Pass-Through Certificates, Series 2004-R7, Class M-6
-- Ameriquest Mortgage Securities Inc. Series 2004-R7, Asset-Backed Pass-Through Certificates, Series 2004-R7, Class M-7
-- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-1
-- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-2
-- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-1
-- 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 2005-R2, Asset-Backed Pass-Through Certificate, Series 2005-R2, Class M-4
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class AF-5
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MF-1
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MF-2
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MF-3
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MV-5
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-4
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-5
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-6
-- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-3
-- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-4
-- First Franklin Mortgage Loan Trust, Series 2004-FF10, Asset-Backed Certificates, Series 2004-FF10, Class M-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-5
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 4-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-7
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-4
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class III-B-3
-- Long Beach Mortgage Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class I-A
-- Long Beach Mortgage Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class II-A3
-- MASTR Adjustable Rate Mortgages Trust 2007-3, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-2A3
-- 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-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-4
-- 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
-- Morgan Stanley Home Equity Loan Trust 2005-1, Mortgage Pass-Through Certificates, Series 2005-1, Class M-4
-- Morgan Stanley Home Equity Loan Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class M-5
-- 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 2005-2, Asset-Backed Notes, Series 2005-2, Class M-3
-- New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-4
-- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-4
-- New Century Home Equity Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-5
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-2
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-3
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Certificates, Series 2005-HE1, Class M-5
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-WF1, Class M-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-WF1, Class M-2
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-4
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-5
-- Park Place Securities Inc., Series 2005-WHQ1, Asset-Backed Pass-Through Certificates, Series 2005-WHQ1, Class M-6
-- Real Estate Synthetic Investment Securities, Series 2003-C, Real Estate Synthetic Investment Securities, Series 2003-C, Class A5 Risk Band
-- Real Estate Synthetic Investment Securities, Series 2003-C, Real Estate Synthetic Investment Notes, Series 2003-C, Class B1 Risk Band
-- Real Estate Synthetic Investment Securities, Series 2003-D, Real Estate Synthetic Investment Securities, Series 2003-D, Class A5 Risk Band
-- Real Estate Synthetic Investment Securities, Series 2003-CB1, Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A5 Risk Band
-- Real Estate Synthetic Investment Securities, Series 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B1 Risk Band
-- Real Estate Synthetic Investment Securities, Series 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B2 Risk Band
Notes:
All figures are in U.S. dollars unless otherwise noted.
The principal methodologies are U.S. RMBS Surveillance Methodology and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.
The rated entity or its related entities did not participate in the rating process for this rating action. DBRS did not have 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 this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.
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