Press Release

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

RMBS
October 25, 2024

DBRS, Inc. (Morningstar DBRS) reviewed 153 classes from 15 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 15 transactions reviewed, 14 are classified as legacy RMBS and one is classified as a reperforming mortgage. Of the 153 classes reviewed, Morningstar DBRS upgraded its credit ratings on 22 classes and confirmed its credit ratings on 131 classes.

The credit rating upgrades reflect a positive performance trend and an increase in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit support levels that are consistent with the current credit ratings.

The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns September 2024 Update" published on September 25, 2024 (https://dbrs.morningstar.com/research/439965). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The credit rating actions are the result of Morningstar DBRS' application of its "U.S. RMBS Surveillance Methodology," published on June 28, 2024.

Morningstar DBRS' credit ratings on the applicable classes address the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. Where applicable, a description of these financial obligations can be found in the transactions' respective press releases at issuance.

Morningstar DBRS' long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Factors in Credit Ratings (August 13, 2024) at https://dbrs.morningstar.com/research/437781.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit ratings assigned to the classes below materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations below varies among tranches having (1) additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress, (2) actual deal or tranche performance is not fully reflected in projected cashflows / model output, (3) small loan count, or (4) certain risks are not fully reflected in the quantitative model output.

The below tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress:

-- 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
-- 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
-- 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 2-A-3
-- 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

The below tranches materially deviate because actual deal or tranche performance is not fully reflected in projected cashflows / model output:

-- CWABS Asset-Backed Certificates Trust 2004-BC5, Asset-Backed Certificates, Series 2004-BC5, Class M-8
-- Encore Credit Receivables Trust 2005-4, Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-6

The below tranches materially deviate because of a small loan count:

-- 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-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
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 1-A2
-- 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 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

The below tranches materially deviate because certain risks are not fully reflected in the quantitative model output:

-- 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 3A2

The credit ratings were initiated at the request of the rated entities.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

DBRS, Inc.
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Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (September 30, 2024), https://dbrs.morningstar.com/research/440090

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623

-- Legal Criteria for U.S. Structured Finance (April 15, 2024), https://dbrs.morningstar.com/research/431205

For more information on this credit or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.

Ratings

CWABS Asset-Backed Certificates Trust 2004-BC5
CWABS Asset-Backed Certificates Trust 2006-SPS1
Citigroup Mortgage Loan Trust 2021-RP6
DSLA Mortgage Loan Trust 2005-AR6
Encore Credit Receivables Trust 2005-4
First Franklin Mortgage Loan Trust 2005-FF9
First Franklin Mortgage Loan Trust 2006-FF8
GSR Mortgage Loan Trust 2005-AR6
J.P. Morgan Mortgage Trust 2005-A5
J.P. Morgan Mortgage Trust 2006-S1
Lehman Mortgage Trust 2008-6
Lehman XS Trust 2006-5
Long Beach Mortgage Loan Trust 2005-3
MASTR Adjustable Rate Mortgages Trust 2005-2
Morgan Stanley Home Equity Loan Trust 2005-2
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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