DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 845 classes from 70 U.S. residential mortgage-backed security (RMBS) transactions. Of the 845 classes reviewed, 26 ratings were upgraded, 818 ratings were confirmed 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 discontinued rating is the result of full principal payment to the bondholders.

The rating actions are the result of DBRS’s applying its updated “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (see the press release “DBRS Publishes Updated 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 prime, Alt-A, scratch and dent, option adjustable-rate mortgage (ARM) and subprime 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 a dependency on another tranche’s ratings, as well as structural features and historical performance that constrain the rating from the quantitative model’s output.

-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 2-A-X
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Fixed Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 1-A-X
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Fixed Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 3-A-X
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-9, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-3
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-10, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 6-X
-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed Pass-Through Certificates, Series 2006-NC1, Class A-1
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-Through Certificates, Series 2006-WFHE2, Class A-2A
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-Through Certificates, Series 2006-WFHE2, Class A-2B
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-Through Certificates, Series 2006-WFHE2, Class A-3
-- Citigroup Mortgage Loan Trust 2006-WFHE2, Asset-Backed Pass-Through Certificates, Series 2006-WFHE2, Class M-1
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class A-4
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-1
-- Citigroup Mortgage Loan Trust Inc., Series 2007-SHL1, Asset-Backed Pass-Through Certificates, Series 2007-SHL1, Class A
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class A-4
-- Citigroup Mortgage Loan Trust 2007-WFHE1, Asset-Backed Pass-Through Certificates, Series 2007-WFHE1, Class M-1
-- DSLA Mortgage Loan Trust 2005-AR5, Mortgage Pass-Through Certificates, Series 2005-AR5, Class X-2
-- First Franklin Mortgage Loan Trust, Series 2005-FF1, Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-1
-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class A1
-- First Franklin Mortgage Loan Trust 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class A4
-- First Franklin Mortgage Loan Trust 2006-FF2, Mortgage Pass-Through Certificates, Series 2006-FF2, Class A4
-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed Certificates, Series 2006-FF8, Class I-A1
-- HarborView Mortgage Loan Trust 2005-13, Mortgage Loan Pass-Through Certificates, Series 2005-13, Class X
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class 5-A-1
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class T-A-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class A-X
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-4
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 7-A-X
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class A-1
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class A-2d
-- New Century Home Equity Loan Trust, Series 2005-B, Asset-Backed Pass-Through Certificates, Series 2005-B, Class M-1
-- RALI Series 2006-QS2 Trust, Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS2, Class II-A-V

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.