DBRS Takes Rating Actions on 31 U.S. RMBS Transactions
RMBSDBRS, Inc. (DBRS) reviewed 407 classes from 31 U.S. residential mortgage-backed security (RMBS) transactions. Of the 406 classes reviewed, DBRS upgraded five ratings, confirmed 401 ratings and discontinued one rating.
The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued rating is the result of the 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 seasoned performing, seasoned re-performing, prime, subprime, home equity line of credit and second-lien 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 a dependency on another tranche’s ratings as well as actual deal or tranche performance that is not fully reflected in the projected cash flows or model output.
-- 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
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IO
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2B
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2C
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IOB
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IOC
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3B
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3C
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOB
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOC
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-2
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B2-IO
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-2A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-2B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-2C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-2D
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B2-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B2-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B2-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-3
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B3-IO
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-3A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-3B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-3C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-3D
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B3-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B3-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B3-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-4C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5A
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5B
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5C
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-5D
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-2, Mortgage-Backed Notes, Series 2018-2, Class B-7
-- 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 2007-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A1
-- 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-BC1, Mortgage Pass-Through Certificates, Series 2007-BC1, Class A6
-- 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 A4
-- Sequoia Mortgage Trust 2005-3, Mortgage Pass-Through Certificates, Series 2005-3, Class X-A
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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