DBRS Morningstar Takes Rating Actions on 33 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) took rating actions on 579 classes from 33 U.S. residential mortgage-backed security (RMBS) transactions. Of the 579 classes reviewed, DBRS Morningstar upgraded six ratings, confirmed 569 ratings, and discontinued four ratings.

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 ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders.

The rating actions result from DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology” published in February 2020.

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

The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation, but in this case, the ratings on the subject notes reflect additional seasoning warranted to substantiate a further upgrade and deal or tranche performance that is not fully reflected in the projected 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 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
-- ACE Securities Corp. Home Equity Loan Trust, Series 2006-ASAP1, Asset-Backed Pass-Through Certificates, Series 2006-ASAP1, Class M-1
-- Banc of America Funding 2007-E Trust, Mortgage Pass-Through Certificates, Series 2007-E, Class 4-A-1
-- Banc of America Funding 2007-E Trust, Mortgage Pass-Through Certificates, Series 2007-E, Class 9-A-1
-- Bear Stearns Mortgage Funding Trust 2007-AR2, Mortgage Pass-Through Certificates, Series 2007-AR2, Class A-1
-- Bear Stearns Mortgage Funding Trust 2007-AR2, Mortgage Pass-Through Certificates, Series 2007-AR2, Class A-2
-- 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
-- Carrington Mortgage Loan Trust, Series 2007-HE1, Asset-Backed Pass-Through Certificates, Series 2007-HE1, Class A-4
-- Citigroup Mortgage Loan Trust 2006-AMC1, Asset-Backed Pass-Through Certificates, Series 2006-AMC1, Class A-1
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-1
-- Citigroup Mortgage Loan Trust 2006-HE2, Asset-Backed Pass-Through Certificates, Series 2006-HE2, Class M-2
-- CWABS Asset-Backed Certificates Trust 2006-SPS1, Asset-Backed Certificates, Series 2006-SPS1, Class 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 Morningstar 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 [email protected]

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