DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 153 classes from 20 U.S. residential mortgage-backed security (RMBS) transactions. Of the 153 classes reviewed, four ratings were upgraded, 142 ratings were confirmed, six ratings were downgraded and one rating was discontinued.

The rating upgrades reflect positive performance trends and that these classes have experienced increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect current asset performance and that credit support levels have been consistent with the current rating. The downgrades reflect a combination of the continued erosion of credit support in these transactions and negative trends in delinquency and projected loss activity. The discontinued rating is a result of full principal payment to the bondholders.

The rating actions are the result of DBRS applying its updated “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (see the press release “DBRS Publishes RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” dated November 28, 2016).

The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of subprime and prime collateral.

The ratings assigned to the following securities 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 the structural features and historical performance that constrain the quantitative model’s output.

-- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Securities, Series 2004-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A, Real Estate Synthetic Investment Notes, Series 2004-A, Class B1 Risk Band
-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Securities, Series 2004-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Notes, Series 2004-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Securities, Series 2004-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C, Real Estate Synthetic Investment Notes, Series 2004-C, Class B1 Risk Band
-- RESI Finance Limited Partnership 2005-A & RESI Finance DE Corporation 2005-A, Real Estate Synthetic Investment Securities, Series 2005-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B, Real Estate Synthetic Investment Securities, Series 2005-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2005-C & RESI Finance DE Corporation 2005-C, Real Estate Synthetic Investment Securities, Series 2005-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Securities, Series 2003-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B2 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Securities, Series 2003-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B2 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Securities, Series 2003-C, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C, Real Estate Synthetic Investment Notes, Series 2003-C, Class B1 Risk Band
-- Securitized Asset Backed Receivables LLC Trust 2006-FR1, Mortgage Pass-Through Certificates, Series 2006-FR1, Class A-2C
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-2
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-3
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-4
-- Securitized Asset Backed Receivables LLC Trust 2006-OP1, Mortgage Pass-Through Certificates, Series 2006-OP1, Class M-5
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 1-A2
-- Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC3, Mortgage Pass-Through Certificates, Series 2007-BC3, Class 2-A2
-- Soundview Home Loan Trust 2005-3, Asset-Backed Certificates, Series 2005-3, Class M-3
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-8
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AI-9
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class AIII-3
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-1
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-2
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-4
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-5
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-6
-- Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Class M-7
-- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class I-A-1
-- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class I-A-2
-- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class II-A-1

Notes:
The principal methodologies are U.S. RMBS Surveillance Methodology and RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on www.dbrs.com under Methodologies.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.