DBRS Takes Rating Actions on 41 U.S. RMBS Transactions

DBRS, Inc. (DBRS) reviewed 518 classes from 41 U.S. residential mortgage-backed security (RMBS) transactions. Of the 518 classes reviewed, DBRS upgraded 30 ratings, confirmed 487 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 prime, subprime, Alt-A, non-Qualified Mortgage, and 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 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.

-- 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-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-CB6, Class M-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class M-3
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-1
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-2
-- C-BASS 2006-RP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-RP1, Class B-3
-- 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
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-2
-- Citigroup Mortgage Loan Trust 2006-WFHE3, Asset-Backed Pass-Through Certificates, Series 2006-WFHE3, Class M-3
-- CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed Certificates, Series 2004-AB2, Class M-2
-- CWABS Asset-Backed Certificates Trust 2004-AB2, Asset-Backed Certificates, Series 2004-AB2, Class M-3
-- First Franklin Mortgage Loan Trust 2005-FFH3, Asset-Backed Certificates, Series 2005-FFH3, Class M-3
-- 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-3
-- 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-1
-- 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-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
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-3
-- Morgan Stanley ABS Capital I Inc. Trust 2005-WMC6, Mortgage Pass-Through Certificates, Series 2005-WMC6, Class M-4
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-1
-- Morgan Stanley Capital I Inc. Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-2d
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-1
-- New Century Home Equity Loan Trust 2004-3, Asset-Backed Notes, Series 2004-3, Class M-2
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5A
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5B
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5C
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-5D
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOC
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B5-IOD
-- New Residential Mortgage Loan Trust 2017-4, Mortgage-Backed Notes, Series 2017-4, Class B-7
-- Angel Oak Mortgage Trust I, LLC 2017-1, Mortgage-Backed Certificates, Series 2017-1, Class B-1
-- Angel Oak Mortgage Trust I, LLC 2017-1, Mortgage-Backed Certificates, Series 2017-1, Class B-2
-- Angel Oak Mortgage Trust I, LLC 2017-2, Mortgage-Backed Certificates, Series 2017-2, Class A-3
-- Angel Oak Mortgage Trust I, LLC 2017-2, Mortgage-Backed Certificates, Series 2017-2, Class M-1
-- Angel Oak Mortgage Trust I, LLC 2017-3, Mortgage-Backed Certificates, Series 2017-3, Class A-3
-- Angel Oak Mortgage Trust I, LLC 2017-3, Mortgage-Backed Certificates, Series 2017-3, Class M-1
-- Angel Oak Mortgage Trust I, LLC 2017-3, Mortgage-Backed Certificates, Series 2017-3, Class B-1
-- Angel Oak Mortgage Trust I, LLC 2017-3, Mortgage-Backed Certificates, Series 2017-3, Class B-2
-- Angel Oak Mortgage Trust I, LLC 2018-2, Mortgage-Backed Certificates, Series 2018-2, Class A-3
-- Angel Oak Mortgage Trust I, LLC 2018-2, Mortgage-Backed Certificates, Series 2018-2, Class M-1
-- Angel Oak Mortgage Trust I, LLC 2018-2, Mortgage-Backed Certificates, Series 2018-2, Class B-1
-- Angel Oak Mortgage Trust I, LLC 2018-2, Mortgage-Backed Certificates, Series 2018-2, Class B-2
-- Angel Oak Mortgage Trust I, LLC 2018-3, Mortgage-Backed Certificates, Series 2018-3, Class A-3
-- Angel Oak Mortgage Trust I, LLC 2018-3, Mortgage-Backed Certificates, Series 2018-3, Class M-1
-- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class M1
-- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class M2
-- CSMC Trust 2017-RPL1, Mortgage-Backed Securities Series 2017-RPL1, Class B1
-- CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B-2
-- CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B2-IO
-- CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B-4
-- CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B-5
-- CSMC 2018-RPL9 Trust, Mortgage-Backed Notes, Series 2018-RPL9, Class B-2
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-2, Series 2018-2, Class M
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Series 2018-3, Class M
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-4, Series 2018-4, Class M
-- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class A3
-- Mill City Mortgage Loan Trust 2018-2, Mortgage Backed Securities, Series 2018-2, Class M2
-- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class A-4
-- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class M-1
-- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class M-2
-- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class B-1
-- New Residential Mortgage Loan Trust 2018-RPL1, Mortgage-Backed Notes, Series 2018-RPL1, Class B-2

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.

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