DBRS Morningstar Takes Rating Actions on 28 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 145 classes from 28 U.S. (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 145 classes reviewed, DBRS Morningstar upgraded two ratings, confirmed 137 ratings, downgraded two ratings, and discontinued four 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’ interest shortfall amount. The discontinued ratings reflect the full repayment of principal to bondholders.

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

-- C-BASS 2007-SP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP1, Class M-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-2
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-3
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-2
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-3
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M3
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-4
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-5
-- Securitized Asset-Backed Receivables LLC Trust 2005-EC1, Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-2
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-2
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-3
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class M-1
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class M-2
-- Terwin Mortgage Trust 2004-13ALT, Asset-Backed Certificates, Series 2004-13ALT, Class 2-P-X
-- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates, Series 2004-15ALT, Class A-X
-- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates, Series 2004-15ALT, Class A-1
-- Ajax Mortgage Loan Trust 2021-E, Mortgage-Backed Securities, Series 2021-E, Class B-2
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-4
-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-2
-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-3

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.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance (ESG) factors 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.

Notes:
The principal methodology is 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.

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].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277