DBRS Morningstar Takes Rating Actions on 36 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 433 classes from 36 U.S. residential mortgage-backed securities (RMBS) transactions. The 36 transactions are generally classified as pre-crisis legacy, ReREMIC, and prime jumbo transactions. Of the 433 classes reviewed, DBRS Morningstar upgraded 37 ratings, confirmed 390 ratings, and downgraded and then discontinued and withdrew six 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 rating downgrades were due to the realized losses and unpaid interest shortfalls to certain bonds. In accordance with DBRS Morningstar’s policies and procedures, the ratings on the downgraded classes were simultaneously discontinued and withdrawn as the trustee remittance reports indicate that the final distribution for the related transaction has occurred.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: April 2023 Update,” published on April 28, 2023 (https://www.dbrsmorningstar.com/research/413218). 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 March 3, 2023.

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 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 applicable to the ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023; https://www.dbrsmorningstar.com/research/410498).

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

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.

The credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar 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 a small loan count, additional seasoning and/or updated performance being warranted to substantiate a further upgrade, or actual deal or tranche performance not fully reflected in projected cash flows/model output.

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

-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-3
-- C-BASS 2007-SP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP1, Class M-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-2
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-2
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-3
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-4
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-5
-- Securitized Asset-Backed Receivables LLC Trust 2005-EC1, Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-2
-- Terwin Mortgage Trust 2004-19HE, Asset-Backed Certificates, Series 2004-19HE, Class A-1

The below tranches materially deviate because of a small underlying loan count on the rated tranches:

-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-2
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-3
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class M-1
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class M-2
-- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates, Series 2004-15ALT, Class A-1
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class A-4
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class M-1

The below tranches materially deviate because of additional seasoning and/or updated performance being warranted to substantiate a further upgrade:

-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M3
-- Flagstar Mortgage Trust 2018-1, Mortgage Pass-Through Certificates, Series 2018-1, Class B-5
-- J.P. Morgan Mortgage Trust 2019-6, Mortgage Pass-Through Certificates, Series 2019-6, Class B-3
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-3
-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Class B-4

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

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

This is a solicited credit rating.

DBRS, Inc.
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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023)
https://www.dbrsmorningstar.com/research/410473

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023)
https://www.dbrsmorningstar.com/research/415687

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.