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

DBRS, Inc. (DBRS Morningstar) reviewed 105 classes from 33 U.S. ReREMIC and residential mortgage-backed security (RMBS) transactions. Of the 105 classes reviewed, DBRS Morningstar upgraded 17 ratings, confirmed 39 ratings, downgraded seven ratings, and discontinued 42 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. The discontinued ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders.

The pools backing the reviewed ReREMIC and RMBS transactions consist of legacy prime, subprime, Alt-A, Scratch and Dent, option adjustable-rate mortgage, ReREMIC, mortgage insurance-linked notes, reverse mortgage, non-Qualified Mortgage, and single-family rental collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities may either reflect additional seasoning being warranted to substantiate a further upgrade or actual deal/tranche performance that is not fully reflected in the projected cash flows/model output.

-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class A3
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class II-X
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 1-A5
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-4
-- CSMC Series 2015-6R, CSMC Series 2015-6R, Class 2-A-1
-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-2
-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-3
-- Bellemeade Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class B-1

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes, shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forebear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its moderate scenario (see “Global Macroeconomic Scenarios - June 2021 Update,” published on June 18, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

Notes:
The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.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.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had 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 these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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