DBRS Morningstar Takes Rating Actions on 56 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 855 classes from 56 U.S. residential mortgage-backed security (RMBS) transactions. Of the 855 classes reviewed, DBRS Morningstar upgraded 48 ratings, confirmed 788 ratings, downgraded and withdrew 14 ratings, and discontinued five 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 The downgraded and subsequently withdrawn ratings reflect the unlikely recovery of the bonds’ principal loss amount. The discontinued ratings reflect the full repayment of principal to bondholders.

The pools backing the reviewed 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.

-- Aegis Asset Backed Securities Trust 2005-3, Mortgage-Backed Notes, Series 2005-3, Class M2
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class A-4
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class M-1
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class A1
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class A6
-- 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
-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-1
-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-2
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M-5
-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1, Asset-Backed Pass-Through Certificates, Series 2006-ASAP1, 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 2004-R11, Asset-Backed Pass-Through Certificates, Series 2004-R11, Class M-7
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 2-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 3-A-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-1-1
-- 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 2005-9, 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
-- Banc of America Funding 2007-7 Trust, Mortgage Pass-Through Certificates, Series 2007-7, Class 30-IO
-- Banc of America Funding 2007-E Trust, Mortgage Pass-Through Certificates, Series 2007-E, Class 9-A-1
-- BCAP LLC Trust 2007-AA2, Mortgage Pass-Through Certificates, Series 2007-AA2, Class II-2-IO
-- BCAP LLC Trust 2007-AA3, Mortgage Pass-Through Certificates, Series 2007-AA3, Class I-A-1A
-- BCAP LLC Trust 2007-AA3, Mortgage Pass-Through Certificates, Series 2007-AA3, Class I-A-1B
-- BCAP LLC Trust 2007-AA3, Mortgage Pass-Through Certificates, Series 2007-AA3, Class I-A-2
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-2
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-4
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-5
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-6
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-7
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-14
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-15
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-16
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-17
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-18
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-19
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-20
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-21
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-22
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-23
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-IO
-- Bear Stearns Alt-A Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2, Class II-X-1
-- 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
-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed Pass-Through Certificates, Series 2007-HE1, Class A-3
-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed Pass-Through Certificates, Series 2007-HE1, Class A-4
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class A-1
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class A-2B
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class A-2C
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-1
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-2
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-3
-- 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 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-3
-- 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-2B
-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed Pass-Through Certificates, Series 2007-AHL1, Class A-2C
-- Citigroup Mortgage Loan Trust 2007-FS1, Asset-Backed Pass-Through Certificates, Series 2007-FS1, Class I-A1
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class M-1
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class M-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 3-A-1-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 3-A-3-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-A-2-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-A-2-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-X
-- 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
-- Citigroup Mortgage Loan Trust 2006-HE3, Asset-Backed Pass-Through Certificates, Series 2006-HE3, Class A-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 forbear 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 baseline scenario (see “Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 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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