DBRS Morningstar Takes Rating Actions on 15 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 171 classes from 15 U.S. residential mortgage-backed security (RMBS) transactions. Of the 171 classes reviewed, DBRS Morningstar upgraded 18 ratings, confirmed 149 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 discontinued ratings reflect the full repayment of principal to bondholders.

The RMBS transactions reviewed consist securitizations of Alt-A and subprime mortgages.

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 small loan counts.

-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-5
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-6
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-7
-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-8
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 2A-1A
-- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-4
-- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-5
-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed Certificates, Series 2006-FF8, Class II-A4
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 1A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 3A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, 3A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A5
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 4-A-2
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class B-1
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 1-A-2
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 2-A-2
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 2-A-3
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 3-A-3
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 5-A-1
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class T-B-2
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class A-X
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 1-A-2
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-6
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-2
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-8
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-3
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-5
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-8
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-9
-- Long Beach Mortgage Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class I-A
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 2-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 3-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 4-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 5-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 6-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 7-A-1
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 7-A-X
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 7-A-2
-- Morgan Stanley Home Equity Loan Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class M-5
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 2-A2

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 forbearances, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. Because the option to forbear mortgage payments was so widely available at the onset of the pandemic, it drove forbearances to a very high level. When the dust settled, coronavirus-induced forbearances 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 (see “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 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 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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