DBRS Takes Rating Actions on 32 U.S. RMBS Transactions

DBRS, Inc. (DBRS) reviewed 358 classes from 32 U.S. residential mortgage-backed security (RMBS) transactions. Of the 358 classes reviewed, DBRS upgraded six ratings, confirmed 339 ratings, downgraded seven ratings and discontinued six ratings. The downgraded ratings will also be subsequently discontinued due to the transaction exercising its cleanup call option.

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 rating downgrades reflect the unlikeliness of recovering the bonds’ principal loss amount. The discontinued ratings are the result of the 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 September 27, 2018.

The pools backing these U.S. RMBS transactions consist of subprime and Alt-A collateral.

The ratings for 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 certain risks that are not fully reflected in the projected cash flows or model output or additional seasoning required to substantiate further upgrade.

-- Aegis Asset Backed Securities Trust 2005-2, Mortgage-Backed Notes, Series 2005-2, Class M3
-- Accredited Mortgage Loan Trust 2006-1, Asset-Backed Notes, Series 2006-1, Class A-4
-- Accredited Mortgage Loan Trust 2006-1, Asset-Backed Notes, Series 2006-1, Class M-1
-- ACE Securities Corp. Home Equity Loan Trust, Series 2004-HE4, Asset-Backed Pass-Through Certificates, Series 2004-HE4, Class M-1
-- ACE Securities Corp. Home Equity Loan Trust, Series 2005-RM1, Asset-Backed Pass-Through Certificates, Series 2005-RM1, Class M-3
-- C-BASS 2004-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4, Class A-6
-- C-BASS 2004-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5, Class M-1
-- C-BASS 2004-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5, Class M-2
-- C-BASS 2004-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5, Class M-3
-- C-BASS 2004-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5, Class B-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-3
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-1
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-3
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-1
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-2
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-3
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-1
-- C-BASS 2005-CB2 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB2, Class M-2
-- C-BASS 2005-CB2 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB2, Class M-3
-- C-BASS 2005-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB4, Class M-2
-- C-BASS 2005-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB4, Class M-3
-- C-BASS 2005-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB4, Class M-4
-- C-BASS 2005-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB4, Class M-5
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-1
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-2
-- C-BASS 2005-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-3
-- C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class A-3
-- C-BASS 2005-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB6, Class M-1
-- C-BASS 2005-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7, Class M-1
-- C-BASS 2005-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7, Class M-2
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-3
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-4
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-5
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AV-1
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-2
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-3
-- C-BASS 2006-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB1, Class AF-4
-- C-BASS 2006-CB2 TRUST, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB2, Class AV
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-2, Home Equity Pass-Through Certificates, Series 2006-2, Class 2-A-4
-- Credit Suisse First Boston Mortgage Securities Corp. Home Equity Asset Trust 2006-2, Home Equity Pass-Through Certificates, Series 2006-2, Class M-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE1, Asset-Backed Certificates, Series 2006-HE1, Class M-1
-- Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE3, Asset-Backed Certificates, Series 2006-HE3, Class I-A-1
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-4
-- Park Place Securities Inc., Series 2005-WCH1, Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M-4
-- Park Place Securities Inc., Series 2005-WCH1, Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M-5
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-1
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-2
-- Securitized Asset Backed Receivables LLC Trust 2005-OP2, Mortgage Pass-Through Certificates, Series 2005-OP2, Class M-3
-- Structured Asset Securities Corporation Mortgage Loan Trust 2005-S3, Mortgage Pass-Through Certificates, Series 2005-S3, Class M4
-- Structured Asset Securities Corporation Mortgage Loan Trust 2005-S3, Mortgage Pass-Through Certificates, Series 2005-S3, Class M5

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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