DBRS Morningstar Takes Rating Actions on 33 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 311 classes from 33 U.S. residential mortgage-backed security (RMBS) transactions. Of the 311 classes reviewed, DBRS Morningstar upgraded 19 ratings, confirmed 291 ratings, and discontinued one rating.

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 rating reflects a 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, Alt-A, option adjustable-rate mortgage, second-lien, and subprime 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.

-- 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 2A1
-- 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, Class 3A1
-- 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 4A1
-- 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-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-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 3-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-1
-- 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-NCA, Mortgage Loan Asset-Backed Certificates, Series 2005-NCA, Class B-1
-- 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-P
-- RALI Series 2006-QS2 Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS2, Class II-A-V
-- 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

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.

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 www.dbrs.com or contact us at [email protected].

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