DBRS Morningstar Takes Rating Actions on 27 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 341 classes from 27 U.S. residential mortgage-backed security (RMBS) transactions. Of the 341 classes reviewed, DBRS Morningstar upgraded 14 ratings, confirmed 323 ratings, downgraded one rating, and discontinued three 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 RMBS transactions consist of Subprime, Alt-A, Scratch and Dent, Option Adjustable-Rate Mortgage, Second Lien, Prime, Reperforming, and Agency 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.

-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2D
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class A-2C
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-1
-- Accredited Mortgage Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-2
-- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-2
-- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-3
-- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-4
-- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-5
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-8, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-8, Class 7-A-1-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 3-A-5
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 4-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 4-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-1
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 5-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-5
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-6
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 6-A-7
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class I-B-1
-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1, Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B2 Risk Band
-- RESI Finance Limited Partnership 2005-A & RESI Finance DE Corporation 2005-A, Real Estate Synthetic Investment Securities, Series 2005-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Securities, Series 2003-A, Class A5 Risk Band
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-4
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-5
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-6
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 2-A1
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 2-A2
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 5-A6
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class B1-X
-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-1
-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-2
-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-3
-- Soundview Home Loan Trust 2008-1, Asset-Backed Certificates, Series 2008-1, Class A-4
-- TBW Mortgage-Backed Trust 2007-2, Mortgage-Backed Pass-Through Certificates, Series 2007-2, Class A-4-B
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AIII-3
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-1
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-2
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-6
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-7

CORONAVIRUS DISEASE (COVID-19) IMPACT
The Coronavirus Disease (COVID-19) 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 the pandemic.

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 the pandemic, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, pandemic-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 June 2022 Update,” published on June 29, 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/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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