DBRS Morningstar Takes Rating Actions on 41 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 453 classes from 41 U.S. residential mortgage-backed security (RMBS) transactions. Of the 453 classes reviewed, DBRS Morningstar upgraded 32 ratings, confirmed 403 ratings, downgraded 13 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 rating downgrades reflect the unlikely recovery of the bonds’ accumulated interest shortfall 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 these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output.

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-M-1
-- C-BASS 2004-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5, Class M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-3
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-1
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-3
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class B-1
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-1
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-2
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-3
-- C-BASS 2005-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7, Class M-2
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-3
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-4
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-5
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class M-1
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-2
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-3
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-4
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AV
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-2
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-3
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-4
-- C-BASS 2006-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB3, Class AV-4
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-I
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-3
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-4
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class M-1
-- C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8, Class A-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-3
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-3
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-4
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-4
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes, Series 2014-A, Class B-4
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-3
-- CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed Certificates, Series 2004-AB2, Class M-3
-- First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed Certificates, Series 2005-FFH3, Class M-3
-- First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed Certificates, Series 2005-FFH3, Class M-4
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class 2-A-4
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class M1
-- GSAMP Trust 2005-HE3, Mortgage Pass-Through Certificates, Series 2005-HE3, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-2
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-2, Home Equity Pass-Through Certificates, Series 2006-2, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 1-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 2-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 1-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 4-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 8-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 9-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class B-1
-- Merrill Lynch Mortgage Investors Trust, Series 2005-SL1, Mortgage Loan Asset-Backed Certificates, Series 2005-SL1, Class B-3
-- Meritage Mortgage Loan Trust 2005-2, Asset-Backed Certificates, Series 2005-2, Class M-3
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-4
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-1
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-2d
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-2
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-3
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-4
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-1
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-2
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-3
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class I-A-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-4
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-4
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-5
-- Park Place Securities Inc., Series 2005-WCH1, Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M-5
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-1
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-2
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-3
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2005-S3, Mortgage Pass-Through Certificates, Series 2005-S3, Class M5

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 forbear 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 baseline scenario (“Baseline Macroeconomic Scenarios For Rated Sovereigns December 2021 Update,” published on December 9, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

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

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.

Notes:
The principal methodologies are 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.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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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