DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 693 classes from 59 U.S. residential mortgage-backed security (RMBS) transactions. Of the 693 classes reviewed, 32 ratings were upgraded, 634 ratings were confirmed and 27 ratings were discontinued.

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 levels. The rating confirmations reflect current asset performance and that credit support levels have been consistent with the current rating. The discontinued rating is the result of full principal payment to the bondholders.

The rating actions are the result of DBRS’s applying its “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (see the press release “DBRS Publishes RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” dated April 4, 2017).

The transactions consist of U.S. Re-REMIC and RMBS transactions. The pools backing these transactions consist of prime, Alt-A, scratch and dent, second lien and subprime collateral.

The ratings assigned to the following securities differ from the ratings 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 a dependency on another tranche’s ratings, as well as structural features and historical performance that constrain the rating from the quantitative model’s output.
-- Citigroup Mortgage Loan Trust 2010-2, Resecuritization Trust Certificates, Series 2010-2, Class 4A2A
-- CSMC Series 2010-1R, CSMC Series 2010-1R, Class 28-A-1
-- CSMC Series 2010-2R, CSMC Series 2010-2R, Class 2-A-4
-- CSMC Series 2010-2R, CSMC Series 2010-2R, Class 2-A-12
-- CSMC Series 2010-7R, CSMC Series 2010-7R, Class 1-A-4
-- CSMC Series 2010-7R, CSMC Series 2010-7R, Class 1-A-12
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 19-A-3
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 19-A-4
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 30-A-4
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class I-A
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class II-A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1, Asset-Backed Certificates, Series 2006-FM1, Class II-A-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Class A-3
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Class A-4
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2, Home Equity Loan Trust Asset-Backed Certificates, Series 2006-HE2, Class M-1
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-3
-- 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
-- Residential Asset Securitization Trust 2005-A15, Mortgage Pass-Through Certificates, Series 2005-A15, Class 1-A-6
-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-A
-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-B
-- Soundview Home Loan Trust 2007-OPT5, Asset-Backed Certificates, Series 2007-OPT5, Class X-3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2005-OPT1, Mortgage Pass-Through Certificates, Series 2005-OPT1, Class A2
-- Structured Asset Securities Corporation Mortgage Loan Trust 2005-S5, Mortgage Pass-Through Certificates, Series 2005-S5, Class M1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A5
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A2
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC4, Mortgage Pass-Through Certificates, Series 2007-BC4, Class A4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A1
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-WF2, Mortgage Pass-Through Certificates, Series 2007-WF2, Class A4
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class A-2
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class A-3

Notes:
The principal methodologies are U.S. RMBS Surveillance Methodology and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on www.dbrs.com under Methodologies.