DBRS Morningstar Takes Rating Actions on 45 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 477 classes from 45 U.S. residential mortgage-backed security (RMBS) transactions. Of the 477 classes reviewed, DBRS Morningstar upgraded 45 ratings, confirmed 420 ratings, and discontinued 12 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 pools backing the reviewed RMBS transactions consist of subprime, Alt-A, prime, second-lien, and reperforming mortgage 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.

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-3
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-1
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-3
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class B-1
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class B-2
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-1
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-2
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-3
-- C-BASS 2005-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7, Class M-1
-- C-BASS 2005-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7, Class M-2
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-3
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-4
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class M-1
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-2
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-3
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-4
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AV
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-2
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-3
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AF-4
-- C-BASS 2006-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB3, Class AV-4
-- C-BASS 2006-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB3, Class M-1
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-I
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-4
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class M-1
-- C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8, Class A-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-3
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-3
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-4
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class M-1
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-3
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-4
-- CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed Certificates, Series 2004-AB2, Class M-3
-- First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed Certificates, Series 2005-FFH3, Class M-3
-- First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed Certificates, Series 2005-FFH3, Class M-4
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class M1
-- GSAMP Trust 2005-HE3, Mortgage Pass-Through Certificates, Series 2005-HE3, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-2
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-3
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-2, Home Equity Pass-Through Certificates, Series 2006-2, Class M-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 2-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 4-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 8-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 9-A-1
-- Merrill Lynch Mortgage Investors Trust, Series 2005-SL1, Mortgage Loan Asset-Backed Certificates, Series 2005-SL1, Class B-3
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-4
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-5
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-6
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-1
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-2d
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-1
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-2
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-3
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-6
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-1
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-2
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class I-A-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class II-A-4
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-4
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-5
-- Park Place Securities Inc., Series 2005-WCH1, Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M-5
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-2
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-3
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2005-S3, Mortgage Pass-Through Certificates, Series 2005-S3, Class M5
-- Towd Point Mortgage Trust 2021-SJ2, Asset-Backed Securities, Series 2021-SJ2, Class A2
-- Towd Point Mortgage Trust 2021-SJ2, Asset-Backed Securities, Series 2021-SJ2, Class A2A
-- Towd Point Mortgage Trust 2021-SJ2, Asset-Backed Securities, Series 2021-SJ2, Class A2AX
-- Towd Point Mortgage Trust 2021-SJ2, Asset-Backed Securities, Series 2021-SJ2, Class A2B
-- Towd Point Mortgage Trust 2021-SJ2, Asset-Backed Securities, Series 2021-SJ2, Class A2BX
-- Towd Point Mortgage Trust 2021-SJ2, Asset-Backed Securities, Series 2021-SJ2, Class A3
-- NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class M-1
-- NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class M-2
-- NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class B-1
-- NYMT Loan Trust 2022-CP1, Mortgage-Backed Notes, Series 2022-CP1, Class B-2

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2022 Update,” published on September 19, 2022 (https://www.dbrsmorningstar.com/research/402907). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

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 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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