Press Release

DBRS Takes Rating Actions on 59 U.S. RMBS Transactions

RMBS
April 12, 2018

DBRS, Inc. (DBRS) reviewed 706 classes from 59 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 706 classes reviewed, DBRS upgraded 19 ratings, confirmed 675 ratings and discontinued 12 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. For transactions where the ratings have been confirmed, current asset performance and credit support levels are consistent with the current ratings. The discontinued ratings are the result of full repayment of principal to bondholders.

The rating actions are the result of DBRS’s application of “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” published on April 4, 2017.

The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of prime, Alt-A, subprime and resecuritization of real estate mortgage investment conduit collateral.

The ratings assigned to the securities listed below 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 structural features and historical performance that constrain the quantitative model output.

-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 17-A-3
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-3
-- CSMC Series 2010-9R, CSMC Series 2010-9R, Class 49-A-4
-- 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
-- Securitized Asset Backed Receivables LLC Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-3
-- Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class A-1
-- 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
-- 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
-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through Certificates, Series 2015-A, Class B-4
-- 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

Notes:
All figures are in U.S. dollars unless otherwise noted.

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 dbrs.com under Methodologies.

The rated entity or its related entities did not participate in the rating process for this rating action. DBRS did not have 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 this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

Ratings

BCAP LLC 2014-RR1 Trust
CSMC Series 2008-2R
CSMC Series 2010-20R
CSMC Series 2010-2R
CSMC Series 2010-4R
CSMC Series 2010-7R
CSMC Series 2010-8R
CSMC Series 2010-9R
Citigroup Mortgage Loan Trust 2008-3
Citigroup Mortgage Loan Trust 2010-2
Citigroup Mortgage Loan Trust 2010-3
Citigroup Mortgage Loan Trust 2010-4
Citigroup Mortgage Loan Trust 2010-7
Lehman Mortgage Trust 2008-6
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM1
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-FM2
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-2
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2007-3
Renaissance Home Equity Loan Trust 2005-2
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  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

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