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

DBRS, Inc. (DBRS) reviewed 605 classes from 36 U.S. residential mortgage-backed security (RMBS) transactions. Of the 605 classes reviewed, DBRS upgraded 12 ratings, confirmed 590 ratings and discontinued three 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 a result of DBRS’s application of the “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” published in September 2018.

The pools backing these RMBS transactions consist of prime, subprime, Alt-A, option adjustable-rate mortgage, second lien and agency reperforming collateral.

The ratings assigned to the securities 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 actual deal or tranche performance that is not fully reflected in the projected cashflows or 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 M-1
-- Asset Backed Funding Corporation Series 2004-OPT5, ABFC Asset-Backed Certificates, Series 2004-OPT5, Class M-2
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2, Asset-Backed Pass-Through Certificates, Series NC 2006-HE2, Class A1
-- 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 M-1
-- Accredited Mortgage Loan Trust 2005-4, Asset-Backed Notes, Series 2005-4, Class M-2
-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1, Asset-Backed Pass-Through Certificates, Series 2006-ASAP1, Class M-1
-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class A-1
-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed Pass-Through Certificates, Series 2007-HE1, Class A-2
-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed Pass-Through Certificates, Series 2007-HE1, Class A-3
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-1
-- CWABS Asset-Backed Certificates Trust 2006-SPS1, Asset-Backed Certificates, Series 2006-SPS1, Class A
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-1, Series 2018-1, Class M

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 dbrs.com under Methodologies & Criteria.

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.

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