DBRS Morningstar Takes Rating Actions on 48 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 770 classes from 48 U.S. residential mortgage-backed security (RMBS) transactions. Of the 770 classes reviewed, DBRS Morningstar upgraded 36 ratings, confirmed 732 ratings, downgraded one rating, and discontinued one rating.

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 downgraded rating reflects the unlikely recovery of the bonds’ interest shortfall amount. The discontinued rating reflects 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, 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, actual deal or tranche performance that is not fully reflected in projected cash flows / model output, or dependency on another rating (such as an interest-only tranche or exchangeable tranche).

-- Aegis Asset Backed Securities Trust 2005-3, Mortgage-Backed Notes, Series 2005-3, Class M2
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class A1
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class A1A
-- Accredited Mortgage Loan Trust 2005-1, Asset-Backed Notes, Series 2005-1, Class M-4
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-4
-- Accredited Mortgage Loan Trust 2005-3, Asset-Backed Notes, Series 2005-3, Class M-5
-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-2
-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-3
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M-5
-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1, Asset-Backed Pass-Through Certificates, Series 2006-ASAP1, Class M-1
-- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-2
-- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R8, Asset-Backed Pass-Through Certificates, Series 2004-R8, Class M-5
-- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-3
-- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-4
-- Ameriquest Mortgage Securities Inc. Series 2004-R9, Asset-Backed Pass-Through Certificates, Series 2004-R9, Class M-5
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 2-A-X
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 3-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Fixed Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 1-A-X
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-2-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-3
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-M-1
-- Banc of America Funding 2007-7 Trust, Mortgage Pass-Through Certificates, Series 2007-7, Class 30-IO
-- Banc of America Funding 2007-E Trust, Mortgage Pass-Through Certificates, Series 2007-E, Class 6-A-1
-- Banc of America Funding 2007-E Trust, Mortgage Pass-Through Certificates, Series 2007-E, Class 10-A-1
-- BCAP LLC Trust 2007-AA1, Mortgage Pass-Through Certificates, Series 2007-AA1, Class II-A-1
-- BCAP LLC Trust 2007-AA1, Mortgage Pass-Through Certificates, Series 2007-AA1, Class II-A-2
-- BCAP LLC Trust 2007-AA2, Mortgage Pass-Through Certificates, Series 2007-AA2, Class I-1-A
-- BCAP LLC Trust 2007-AA2, Mortgage Pass-Through Certificates, Series 2007-AA2, Class II-2-PO
-- BCAP LLC Trust 2007-AA2, Mortgage Pass-Through Certificates, Series 2007-AA2, Class II-2-IO
-- BCAP LLC Trust 2007-AA2, Mortgage Pass-Through Certificates, Series 2007-AA2, Class II-2-A-1
-- BCAP LLC Trust 2007-AA3, Mortgage Pass-Through Certificates, Series 2007-AA3, Class I-A-2
-- BCAP LLC Trust 2007-AA4, Mortgage Pass-Through Certificates, Series 2007-AA4, Class I-2-X1
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-2
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-4
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-5
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-6
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-7
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-14
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-15
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-16
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-17
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-18
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-19
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-20
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-21
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-22
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-A-23
-- Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-IO
-- BNC Mortgage Loan Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2, Class A1
-- BNC Mortgage Loan Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2, Class A5
-- Bear Stearns Alt-A Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2, Class II-X-1
-- Bear Stearns Mortgage Funding Trust 2007-AR2, Mortgage Pass-Through Certificates, Series 2007-AR2, Class A-2
-- Bear Stearns Mortgage Funding Trust 2007-AR2, Mortgage Pass-Through Certificates, Series 2007-AR2, Class B-1
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class M-4
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-1
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-2
-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed Pass-Through Certificates, Series 2007-HE1, Class A-3
-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed Pass-Through Certificates, Series 2007-HE1, Class A-4
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class A-1
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class A-2B
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class A-2C
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class M-1
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-2
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-3
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-4
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-5
-- Citigroup Mortgage Loan Trust 2006-HE3, Asset-Backed Pass-Through Certificates, Series 2006-HE3, Class A-1
-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed Pass-Through Certificates, Series 2006-NC1, Class A-1
-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed Pass-Through Certificates, Series 2006-NC1, Class A-2D
-- Citigroup Mortgage Loan Trust 2006-NC2, Asset-Backed Pass-Through Certificates, Series 2006-NC2, Class A-1
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-Through Certificates, Series 2006-WFHE2, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-3
-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed Pass-Through Certificates, Series 2007-AHL1, Class A-1
-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed Pass-Through Certificates, Series 2007-AHL1, Class A-2C
-- Citigroup Mortgage Loan Trust 2007-AHL1, Asset-Backed Pass-Through Certificates, Series 2007-AHL1, Class M-1
-- Citigroup Mortgage Loan Trust 2007-AMC2, Asset-Backed Pass-Through Certificates, Series 2007-AMC2, Class A-1
-- Citigroup Mortgage Loan Trust 2007-FS1, Asset-Backed Pass-Through Certificates, Series 2007-FS1, Class I-A1
-- Citigroup Mortgage Loan Trust 2007-FS1, Asset-Backed Pass-Through Certificates, Series 2007-FS1, Class II-A1A
-- Citigroup Mortgage Loan Trust 2007-FS1, Asset-Backed Pass-Through Certificates, Series 2007-FS1, Class II-A1B
-- Citigroup Mortgage Loan Trust 2007-FS1, Asset-Backed Pass-Through Certificates, Series 2007-FS1, Class II-A2
-- Citigroup Mortgage Loan Trust Inc., Series 2007-SHL1, Asset-Backed Pass-Through Certificates, Series 2007-SHL1, Class A
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MF-1
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MF-2
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MF-3
-- CWABS Asset-Backed Certificates Trust 2004-12, Asset-Backed Certificates, Series 2004-12, Class MV-5

CORONAVIRUS DISEASE (COVID-19) IMPACT
The 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 is generally short-term payment relief that may perform very differently from traditional delinquency. 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: September 2022 Update,” published on September 19, 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, AND GOVERNANCE CONSIDERATIONS
There were no environmental, social, and 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 (May 17, 2022).

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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