DBRS Takes Rating Actions on 41 U.S. RMBS Transactions
RMBSDBRS, Inc. (DBRS) reviewed 355 classes from 41 U.S. resecuritization of real estate mortgage investment conduits (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 353 classes reviewed, DBRS upgraded 15 ratings, confirmed 337 ratings and discontinued three 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 discontinued ratings are the result of the 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 ReREMIC and RMBS transactions consist of prime, subprime, Alt-A, option adjustable-rate mortgage and second-lien 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 a dependency on another tranche’s ratings as well as actual deal or tranche performance that is not fully reflected in the projected cash flows or model output.
-- GSR Mortgage Loan Trust 2005-AR5, Mortgage Pass-Through Certificates, Series 2005-AR5, Class 4A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 1A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 1A4
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 1A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, 3A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A5
-- HarborView Mortgage Loan Trust 2005-13, Mortgage Loan Pass-Through Certificates, Series 2005-13, Class X
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 1-A-2
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 2-A-2
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 2-A-3
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 3-A-3
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 5-A-1
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class T-B-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class A-X
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 1-A-2
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-2
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-6
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-8
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-3
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-5
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-6
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-8
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-9
-- Lehman XS Trust 2006-5, Mortgage Pass-Through Certificates, Series 2006-5, Class 2-A4A
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 1-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 7-A-X
-- Merrill Lynch Mortgage Investors Trust, Series 2005-SL2, Mortgage Loan Asset-Backed Certificates, Series 2005-SL2, Class M-2
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class A-2d
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class M-1
-- RALI Series 2006-QS2 Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS2, Class II-A-1
-- RALI Series 2006-QS2 Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS2, Class II-A-2
-- RALI Series 2006-QS2 Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS2, Class II-A-P
-- RALI Series 2006-QS2 Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS2, Class II-A-V
-- Citigroup Mortgage Loan Trust 2008-3, Re-REMIC Trust Certificates, Series 2008-3, Class A9
-- Citigroup Mortgage Loan Trust 2008-3, Re-REMIC Trust Certificates, Series 2008-3, Class A13
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-4
Notes:
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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