DBRS Morningstar Takes Rating Actions on 19 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 139 classes from 19 U.S. residential mortgage-backed security (RMBS) transactions. Of the 139 classes reviewed, DBRS Morningstar upgraded 11 ratings, confirmed 113 ratings, and downgraded 15 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 amounts or principal loss amounts and the transactions’ negative trends in loss activity.

The pools backing the reviewed RMBS transactions consist of Prime, Alt-A, Subprime, and Non-Qualified Mortgage 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.

-- Homeward Opportunities Fund Trust 2020-2, Class M-1
-- Homeward Opportunities Fund Trust 2020-2, Class B-1
-- Homeward Opportunities Fund Trust 2020-2, Class B-2
-- Arroyo Mortgage Trust 2021-1R, Mortgage-Backed Notes, Series 2021-1R, Class B-2
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass- Through Certificates, Series 2005-HE2, Class M3
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE2, Asset-Backed Pass- Through Certificates, Series 2005-HE2, Class M4
-- 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 2005-2, Asset-Backed Notes, Series 2005-2, Class M-8
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1, Asset-Backed Pass-Through Certificates, Series 2005-RM1, Class M-3
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1, Asset-Backed Pass-Through Certificates, Series 2005-RM1, 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 2005-10, 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
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-2
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-3
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-4
-- Argent Securities Inc. Series 2004-W11, Asset-Backed Pass-Through Certificates, Series 2004-W11, Class M-5
-- 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
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007- WFHE1, Class M-3
-- 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 2005-1, Asset-Backed Notes, Series 2005-1, Class M-6
-- 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
-- RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D, Real Estate Synthetic Investment Securities, Series 2003-D, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Securities, Series 2004-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Notes, Series 2004-A, Class B1 Risk Band
-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Securities, Series 2004-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Notes, Series 2004-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Securities, Series 2004-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B, Real Estate Synthetic Investment Securities, Series 2005-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Securities, Series 2003-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B2 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Securities, Series 2003-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Notes, Series 2003-C, Class B1 Risk Band

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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