DBRS Morningstar Takes Rating Actions on 73 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 1,083 classes from 73 U.S. residential mortgage-backed security (RMBS) transactions. Of the 1,083 classes reviewed, DBRS Morningstar upgraded 33 ratings; downgraded 11 ratings; confirmed 1,020 ratings; and discontinued 19 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating downgrades reflect the unlikely recovery of the bonds’ principal loss amount or the transactions’ negative trend in loss activity. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. 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 February 2020.

The pools backing these RMBS transactions consist of prime, subprime, Alt-A, seasoned, reperforming, and ReREMIC 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 either additional seasoning being warranted to substantiate a further upgrade or actual deal or tranche performance not being fully reflected in the projected cash flows/model output.

-- First Franklin Mortgage Loan Trust, Series 2005-FF1, Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-1
-- First Franklin Mortgage Loan Trust, Series 2005-FF1, Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-2
-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class A1
-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class A4
-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M1
-- First Franklin Mortgage Loan Trust 2006-FF2, Mortgage Pass-Through Certificates, Series 2006-FF2, Class A4
-- First Franklin Mortgage Loan Trust 2006-FF2, Mortgage Pass-Through Certificates, Series 2006-FF2, Class M1
-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed Certificates, Series 2006-FF8, Class I-A1
-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed Certificates, Series 2006-FF8, Class II-A3
-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed Certificates, Series 2006-FF8, Class II-A4
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-4
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-5
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-6
-- Securitized Asset Backed Receivables LLC Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-3
-- Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class A-1
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class A-3
-- CIM Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class B-2
-- CIM Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class B-IO2
-- CIM Trust 2019-INV1, Mortgage Pass-Through Certificates, Series 2019-INV1, Class B-2A
-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-5
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-2
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-5
-- J.P. Morgan Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-5
-- J.P. Morgan Mortgage Trust 2019-2, Mortgage Pass-Through Certificates, Series 2019-2, Class B-2
-- J.P. Morgan Mortgage Trust 2019-2, Mortgage Pass-Through Certificates, Series 2019-2, Class B-5
-- Mello Mortgage Capital Acceptance 2018-MTG1, Mortgage Pass-Through Certificates, Series 2018-MTG1, Class B5
-- 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
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-1-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-1-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-2-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-2-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-2-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-3
-- Citigroup Mortgage Loan Trust 2006-HE3, Asset-Backed Pass-Through Certificates, Series 2006-HE3, Class A-1
-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed Pass-Through Certificates, Series 2006-NC1, Class A-1
-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed Pass-Through Certificates, Series 2006-NC1, Class A-2D
-- Citigroup Mortgage Loan Trust 2006-NC2, Asset-Backed Pass-Through Certificates, Series 2006-NC2, Class A-1
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-Through Certificates, Series 2006-WFHE2, Class M-1
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-Through Certificates, Series 2006-WFHE2, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-1
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-2
-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed Pass-Through Certificates, Series 2007-AHL1, Class A-1
-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed Pass-Through Certificates, Series 2007-AHL1, Class A-2C
-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed Pass-Through Certificates, Series 2007-AHL1, Class M-1
-- Citigroup Mortgage Loan Trust 2007-FS1, Asset-Backed Pass-Through Certificates, Series 2007-FS1, Class II-A1A
-- Citigroup Mortgage Loan Trust Inc., Series 2007-SHL1, Asset-Backed Pass-Through Certificates, Series 2007-SHL1, Class M-1
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class M-2
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class M-3
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 2A-1A
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 2A-1C
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class M-1
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class M-2

Notes:
The principal methodologies are the 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.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883/dbrs-morningstar-provides-update-on-rating-methodologies-in-light-of-measures-to-contain-coronavirus-disease-covid-19.

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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