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

DBRS, Inc. (DBRS Morningstar) took rating actions on 457 classes from 37 U.S. residential mortgage-backed security (RMBS) transactions. Of the 457 classes reviewed, DBRS Morningstar upgraded 23 ratings, confirmed 355 ratings, downgraded 30 ratings, and discontinued 49 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 rating downgrades reflect the unlikely recovery of the bonds’ principal loss amount or the transactions’ negative trend in loss activity. The discontinued ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders.

The rating actions are a result of DBRS Morningstar’s application of the “U.S. RMBS Surveillance Methodology” published in September 2018.

The pools backing these RMBS transactions consist of pre-crisis prime, Alt-A, subprime, and post crisis prime collateral.

The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect additional seasoning warranted to substantiate a further upgrade and deal or tranche performance that is not fully reflected in the projected 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 2004-4, Asset-Backed Notes, Series 2004-4, Class M-3
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-4
-- 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-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 2005-2, Asset-Backed Notes, Series 2005-2, Class M-7
-- 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-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-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-4
-- 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 2005-R2, Asset-Backed Pass-Through Certificate, Series 2005-R2, Class M-4
-- Ameriquest Mortgage Securities Inc., Series 2005-R2, Asset-Backed Pass-Through Certificate, Series 2005-R2, Class M-5
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class M-3
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class M-4
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-1
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-2
-- 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-5
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-6
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-7
-- 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
-- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-5
-- 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-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-4
-- 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-1
-- 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-2
-- 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-5
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-6
-- 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
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class III-B-4
-- Long Beach Mortgage Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class I-A
-- 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-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 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class M-5
-- Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3, Mortgage Pass-Through Certificates, Series 2005-AR3, Class III-A-1
-- Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3, Mortgage Pass-Through Certificates, Series 2005-AR3, Class III-A-2
-- 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 2005-2, Asset-Backed Notes, Series 2005-2, Class M-5
-- 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 2005-3, Asset-Backed Notes, Series 2005-3, Class M-6
-- 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
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-WF1, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-WF1, Class M-3
-- 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
-- CSMC Trust 2014-WIN2, Mortgage Pass-Through Certificates, Series 2014-WIN2, Class B-4
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, Class B-2
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, Class B-3
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, Class B-4
-- J.P. Morgan Mortgage Trust 2019-LTV1, Mortgage Pass-Through Certificates, Series 2019-LTV1, Class B-5
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-2
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-3
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-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 Morningstar 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 https://www.dbrs.com or contact us at [email protected]

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