DBRS Morningstar Takes Rating Actions on 90 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 470 classes from 90 U.S. resecuritizations of real estate mortgage investment conduits (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 470 classes reviewed, DBRS Morningstar confirmed 457 ratings, downgraded 10 ratings, placed two ratings Under Review with Negative Implications, and discontinued one rating.

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’ principal loss amount or the transactions’ negative trend in loss activity. The Under Review with Negative Implications status reflects the negative impact of the Coronavirus Disease (COVID-19) on the bonds. The discontinuation reflects full repayment of principal to bondholders.

On April 13, 2020, and May 13, 2020, DBRS Morningstar published commentaries on the U.S. RMBS sector titled “Coronavirus Disease (COVID-19) Fallout and the Credit Risk Exposure Mapping of U.S. RMBS Sectors” and “Coronavirus Disease Implications for GSE CRT Deals,” respectively. In a commentary titled “Global Macroeconomic Scenarios: September Update” published on September 10, 2020, DBRS Morningstar provided an update on how its scenarios and views on the coronavirus have evolved since its original commentary dated April 16, 2020. DBRS Morningstar’s moderate scenario now reflects recent economic data and assumes that a full recovery takes somewhat longer. This implies lower GDP growth for 2020, higher GDP growth for 2021 (as a larger proportion of lost output is made up in 2021 instead of Q3 and Q4 2020), and higher unemployment in 2020 carrying through to 2021.

DBRS Morningstar’s rating actions are based on the following analytical considerations:

-- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30+-day delinquencies.

-- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives.

-- Higher unemployment rates and more conservative home-price assumptions.

The pools backing the reviewed ReREMIC and RMBS transactions consist of Prime, Alt-A, Option-ARM, Scratch and Dent, Second-Lien, Subprime, and Reperforming collateral.

The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities reflect a small loan count, additional seasoning warranted to substantiate a further upgrade, or actual deal/tranche performance that is not fully reflected in the projected cash flows/model output.

-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, Class 1-A4
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, Class 1-A5
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, Class 2-A4
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, Class 4-A4
-- CSMC Series 2010-9R, Class 49-A-4
-- CSMC Series 2015-6R, Class 2-A-1
-- CSMC Series 2015-6R, Class 4-A-1
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class II-X
-- 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-3
-- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-2
-- C-BASS 2004-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4, Class M-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-2
-- 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-3-2
-- 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-3
-- 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 11-A-2
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class 11-A-3
-- J.P. Morgan Mortgage Trust 2005-A3, Mortgage Pass-Through Certificates, Series 2005-A3, Class III-B-3
-- MASTR Adjustable Rate Mortgages Trust 2007-3, Mortgage Pass-Through Certificates, Series 2007-3, Class 2-2A3
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AV-3
-- 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
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Securities, Series 2003-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B2 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Securities, Series 2003-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B2 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Securities, Series 2003-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Notes, Series 2003-C, Class B1 Risk Band
-- 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 2003-D & RESI Finance DE Corporation 2003-D, Real Estate Synthetic Investment Securities, Series 2003-D, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Securities, Series 2004-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Notes, Series 2004-A, Class B1 Risk Band
-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Securities, Series 2004-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Notes, Series 2004-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Securities, Series 2004-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Notes, Series 2004-C, Class B1 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 2005-B & RESI Finance DE Corporation 2005-B, Real Estate Synthetic Investment Securities, Series 2005-B, Class A5 Risk Band
-- 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
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 5-A6
-- 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 AI-8
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-9
-- 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-4
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-5
-- 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

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology” published on February 21, 2020.

When DBRS Morningstar places a rating Under Review with Negative Implications, DBRS Morningstar seeks to complete its assessment and remove the rating from this status as soon as appropriate. Upon the resolution of the Under Review status, DBRS Morningstar may confirm or downgrade the ratings on the affected classes.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

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 info@dbrsmorningstar.com.

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