DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) reviewed 865 classes from 73 U.S. residential mortgage-backed security (RMBS) transactions. Of the 865 classes reviewed, DBRS upgraded 44 ratings and confirmed 821 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. For transactions where the ratings have been confirmed, current asset performance and credit-support levels are consistent with the current ratings.

The rating actions are a result of DBRS’s application of “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 transactions. The pools backing these transactions consist of prime, Alt-A, Option-ARM, prime, re-performing, second-lien 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/or historical performance that constrain the quantitative model 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 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-1-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-1-2
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-2-1
-- Credit Suisse First Boston Mortgage Securities Corp. Adjustable Rate Mortgage Trust 2005-7, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-7, Class 7-A-2-2
-- 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 2005-10, 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-2C
-- Citigroup Mortgage Loan Trust 2006-NC2, Asset-Backed Pass-Through Certificates, Series 2006-NC2, Class A-1
-- 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 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 M-1
-- DSLA Mortgage Loan Trust 2005-AR5, Mortgage Pass-Through Certificates, Series 2005-AR5, Class X-2
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 2A-1A
-- 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
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 1A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 1A4
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 1A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 3A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, 3A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A1
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A2
-- GSR Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005-AR6, Class 4A5
-- 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 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A5, Mortgage Pass-Through Certificates, Series 2005-A5, Class T-B-1
-- J.P. Morgan Mortgage Trust 2006-S1, Mortgage Pass-Through Certificates, Series 2006-S1, Class A-X
-- MASTR Adjustable Rate Mortgages Trust 2005-2, Mortgage Pass-Through Certificates, Series 2005-2, Class 1-A-1
-- 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
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL1, Asset-Backed Notes, Series 2017-SPL1, Class B2
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL1, Asset-Backed Notes, Series 2017-SPL1, Class B2-IO
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL2, Asset-Backed Notes, Series 2017-SPL2, Class B2
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL2, Asset-Backed Notes, Series 2017-SPL2, Class B2-IO

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.

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.

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