DBRS Morningstar Takes Rating Actions on 42 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 416 classes from 42 U.S. ReREMIC and residential mortgage-backed security (RMBS) transactions. Of the 416 classes reviewed, DBRS Morningstar upgraded 24 ratings, confirmed 384 ratings, and discontinued eight 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 reflect the full repayment of principal to bondholders.

The pools backing the reviewed ReREMIC and RMBS transactions consist of Prime, Alt-A, Option-Adjustable-Rate-Mortgage, Scratch and Dent, Second-Lien, Reperforming, and Subprime 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.

-- Banc of America Funding 2015-R3 Trust, Resecuritization Trust Securities, Class 9A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities, Class 4A1
-- 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
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A7
-- Merrill Lynch Mortgage Investors Trust, Series 2005-SL2, Mortgage Loan Asset-Backed Certificates, Series 2005-SL2, Class M-2
-- Nomura Asset Acceptance Corporation, Alternative Loan Trust, Series 2005-AR3, Mortgage Pass-Through Certificates, Series 2005-AR3, Class III-A-1
-- 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 2005-1, Asset-Backed Notes, Series 2005-1, Class M-5
-- 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-3
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-4
-- New Century Home Equity Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-5
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class M-1
-- 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-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
-- Residential Asset Securitization Trust 2005-A15, Mortgage Pass-Through Certificates, Series 2005-A15, Class 1-A-6
-- 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
-- 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-BR1, Mortgage Pass-Through Certificates, Series 2007-BR1, Class A-1
-- 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
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class M-1

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

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months delinquencies have been gradually trending downward as forbearance periods come 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.

DBRS Morningstar notes that this press release was amended on January 19, 2022, to remove Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-4 from the press release, which had been added to the text in error.

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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