DBRS Takes Rating Actions on U.S. RMBS Securities
RMBSDBRS, Inc. (DBRS) has today reviewed 406 classes from 31 U.S. residential mortgage-backed security (RMBS) transactions. Of the 406 classes reviewed, 23 ratings were upgraded and 383 ratings were confirmed.
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 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. RMBS transactions. The pools backing these transactions consist of Prime, Alt-A, Second Lien, Subprime and Re-Performing 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 small collateral loan count, as well as structural features and historical performance that constrain the ratings from the quantitative model’s output.
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-A-1-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-A-2-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-5, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-5, Class 6-A-2-2
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-I
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-3
-- C-BASS 2006-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class A-II-4
-- C-BASS 2006-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB8, Class A-2B
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-2
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-2
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-3
-- C-BASS 2007-MX1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-MX1, Class A-4
-- CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed Certificates, Series 2004-AB2, Class M-3
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class 1-A-1
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class 2-A-4
-- Fremont Home Loan Trust 2005-D, Mortgage-Backed Certificates, Series 2005-D, Class M1
-- GSAMP Trust 2005-HE3, Mortgage Pass-Through Certificates, Series 2005-HE3, Class M-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2005-8, Home Equity Pass-Through Certificates, Series 2005-8, Class M-2
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 1-A-1
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 2-A-3
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-4, Home Equity Pass-Through Certificates, Series 2006-4, Class 2-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 1-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 2-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 4-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 5-A-3
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 6-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 6-A-2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 7CB2
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 8-A-1
-- J.P. Morgan Mortgage Trust 2005-A2, Mortgage Pass-Through Certificates, Series 2005-A2, Class 9-A-1
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M1
-- Long Beach Mortgage Loan Trust 2005-WL1, Asset-Backed Certificates, Series 2005-WL1, Class III-M2
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 1-A1
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 2-A1
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 2-A2
-- Meritage Mortgage Loan Trust 2005-2, Asset-Backed Certificates, Series 2005-2, Class M-2
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-1
-- New Century Home Equity Loan Trust 2004-4, Asset-Backed Notes, Series 2004-4, Class M-1
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.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.
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