DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 875 classes from 137 U.S. residential mortgage-backed security (RMBS) transactions. Of the 875 classes reviewed, 864 ratings were confirmed and 11 ratings were upgraded.

The rating upgrades reflect positive performance trends and that these classes have experienced increases in credit support sufficient to withstand stresses at their new rating level. For transactions where the rating has been confirmed, current asset performance and credit support levels have been consistent with the current rating.

The rating actions are the result of DBRS applying its updated “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (see “DBRS Publishes RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” published on November 28, 2016).

The transactions consist of U.S. RMBS and Net Interest Margin (NIM) transactions. The pools backing these transactions consist of Subprime and Alt-A collateral.

The ratings assigned to the following securities differ from the rating(s) implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect the structural features and historical performance that constrain the quantitative model output.

-- Aegis Asset Backed Securities Trust 2005-3, Mortgage-Backed Notes, Series 2005-3, Class M2
-- 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-2
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class M-3
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class M-4
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class A2
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class A5
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE4, Asset-Backed Pass-Through Certificates, Series NC 2006-HE4, Class A6
-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class A-2D
-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-1
-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1, Asset-Backed Pass-Through Certificates, Series 2006-ASAP1, Class A-2D
-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1, Asset-Backed Pass-Through Certificates, Series 2006-ASAP1, Class M-1
-- BCAP LLC Trust 2007-AA1, Mortgage Pass-Through Certificates, Series 2007-AA1, Class I-A-2
-- BCAP LLC Trust 2008-IND2, Mortgage Pass-Through Certificates, Series 2008-IND2, Class A-1
-- BNC Mortgage Loan Trust 2007-2, Mortgage Pass-Through Certificates, Series 2007-2, Class A2
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class A-2D
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-1

Notes:
The applicable methodologies are U.S. RMBS Surveillance Methodology and RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on our website under Methodologies.

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