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

DBRS, Inc. (DBRS Morningstar) reviewed 202 classes from 19 U.S. residential mortgage-backed security (RMBS) transactions. Of the 202 classes reviewed, DBRS Morningstar upgraded 17 ratings, confirmed 179 ratings, and discontinued six 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 transactions’ full repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of Alt-A, Option Adjustable-Rate Mortgage, second lien, subprime, and reperforming 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.

-- 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
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M4
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series WMC 2005-HE5, Asset-Backed Pass-Through Certificates, Series WMC 2005-HE5, Class M5
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M3
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2005-HE8, Asset-Backed Pass-Through Certificates, Series NC 2005-HE8, Class M4
-- 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, Inc., Series 2005-WF1, Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-4, Home Equity Pass-Through Certificates, Series 2005-4, Class M-6
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-5, Home Equity Pass-Through Certificates, Series 2005-5, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-6, Home Equity Pass-Through Certificates, Series 2005-6, Class M-5
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-7, Home Equity Pass-Through Certificates, Series 2005-7, Class M-2
-- Credit Suisse First Boston Mortgage Acceptance Corp. Home Equity Asset Trust 2005-9, Home Equity Pass-Through Certificates, Series 2005-9, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-3, Home Equity Pass-Through Certificates, Series 2006-3, Class M-1
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class I/II-M4
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-6
-- Securitized Asset Backed Receivables LLC Trust 2006-WM1, Mortgage Pass-Through Certificates, Series 2006-WM1, Class A-2C
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-1
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-2
-- Structured Asset Investment Loan Trust, Series 2004-11, Lehman Brothers Mortgage Pass-Through Certificates, Series 2004-11, Class M-3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A6
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF1, Mortgage Pass-Through Certificates, Series 2007-WF1, Class A5

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. 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 March 2022 Update,” published on March 24, 2022), 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
There were no Environmental/ Social/ Governance factor(s) that had a significant or relevant effect on the credit analysis.

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/396929/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.

Notes:
The principal methodology is the U.S. RMBS Surveillance Methodology (February 21, 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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