DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 545 classes from 60 U.S. residential mortgage-backed security (RMBS) transactions. Of the 545 classes reviewed, DBRS confirmed 442 ratings, upgraded 96 ratings, downgraded one rating and discontinued six ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating level. For transactions where the rating has been confirmed, current asset performance and credit support levels have been consistent with the current rating. The rating downgrade reflects the transaction’s continued erosion of credit support as well as negative trends in delinquency and projected loss activity. The discontinued ratings are the result of full principal payment to the bondholders.

The rating actions result from DBRS’s application of its “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” published on April 4, 2017.

The transactions consist of U.S. RMBS and Re-REMIC transactions. The pools backing these transactions consist of Alt-A 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 the structural features and historical performance that constrain the quantitative model output.

-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M4
-- 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
-- BNC Mortgage Loan Trust 2007-1, Mortgage Pass-Through Certificates, Series 2007-1, Class A3
-- C-BASS 2004-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4, Class A-5
-- C-BASS 2004-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4, Class A-6
-- C-BASS 2004-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4, Class M-1
-- C-BASS 2004-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB5, Class M-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class AF-3
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class AF-4
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class M-3
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class M-4
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-1
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-2
-- 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-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-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-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB7, Class M-3
-- C-BASS 2005-CB8 Trust, C-Bass Mortgage Loan Asset-Backed Certificates, Series 2005-CB8, Class AF-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 1-A-1
-- 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
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-4
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-5
-- 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
-- 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 Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 1-A1
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 1-A2
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 1-A3
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 5-A6
-- Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Mortgage Pass-Through Certificates, Series 2004-8, Class 5-A6B
-- Structured Asset Securities Corporation Mortgage Loan Trust 2005-S3, Mortgage Pass-Through Certificates, Series 2005-S3, Class M4
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class I-A-1
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class I-A-2
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-1
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-3
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-4
-- Banc of America Funding 2014-R6 Trust, Resecuritization Trust Securities, Class 2A1
-- Banc of America Funding 2014-R6 Trust, Resecuritization Trust Securities, Class 2A4
-- Banc of America Funding 2014-R6 Trust, Resecuritization Trust Securities, Class 2A6
-- Banc of America Funding 2014-R6 Trust, Resecuritization Trust Securities, Class 2A8
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A1
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A5
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A6
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A7
-- Banc of America Funding 2014-R8 Trust, Resecuritization Trust Securities, Class A1
-- Citigroup Mortgage Loan Trust 2014-10, Resecuritization Trust Securities, Series 2014-10, Class 3A3
-- Citigroup Mortgage Loan Trust 2014-10, Resecuritization Trust Securities, Series 2014-10, Class 4A3
-- CSMC Series 2014-11R, CSMC Series 2014-11R, Class 10-A-1
-- CSMC Series 2014-11R, CSMC Series 2014-11R, Class 14-A-1
-- GSMSC Resecuritization Trust 2014-5R, Series 2014-5R Resecuritization Trust Securities, Class 1A
-- GSMSC Resecuritization Trust 2014-5R, Series 2014-5R Resecuritization Trust Securities, Class 1B
-- GSMSC Resecuritization Trust 2014-5R, Series 2014-5R Resecuritization Trust Securities, Class 3A
-- J.P. Morgan Resecuritization Trust, Series 2014-6, Series 2014-6 Trust Certificates, Class 1-A-1
-- J.P. Morgan Resecuritization Trust, Series 2014-6, Series 2014-6 Trust Certificates, Class 3-A-1
-- Morgan Stanley Resecuritization Trust 2014-R8, Resecuritization Pass-Through Certificates, Series 2014-R8, Class 3-A4
-- Morgan Stanley Resecuritization Trust 2014-R8, Resecuritization Pass-Through Certificates, Series 2014-R8, Class 4-A4
-- Morgan Stanley Resecuritization Trust 2014-R8, Resecuritization Pass-Through Certificates, Series 2014-R8, Class 4-A
-- Morgan Stanley Resecuritization Trust 2014-R9, Resecuritization Pass-Through Certificates, Series 2014-R9, Class 3-A
-- Morgan Stanley Resecuritization Trust 2014-R9, Resecuritization Pass-Through Certificates, Series 2014-R9, Class 4-A
-- Nomura Resecuritization Trust 2014-7R, Resecuritization Trust Securities, Series 2014-7R, Class 1A1

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.

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