DBRS Takes Rating Actions on 67 U.S. RMBS Transactions

DBRS, Inc. (DBRS) reviewed 602 classes from 67 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 602 classes reviewed, DBRS confirmed 538 ratings, upgraded 58 ratings, downgraded two 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. For transactions where the ratings have been confirmed, current asset performance and credit support levels are consistent with the current ratings. The rating downgrades reflect the transactions’ continued erosion of credit support as well as negative trends in delinquency and projected loss activity. The discontinued ratings are the result of full repayment of principal to bondholders.

The rating actions are the 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, subprime, reperforming and ReREMIC 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 certain risks and historical performance that constrain the quantitative model output.

-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A1
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A6
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A7
-- Citigroup Mortgage Loan Trust 2014-10, Resecuritization Trust Securities, Series 2014-10, Class 4A3
-- GSMSC Resecuritization Trust 2014-5R, Series 2014-5R Resecuritization Trust Securities, Class 3A
-- 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 3-A
-- Morgan Stanley Resecuritization Trust 2014-R8, Resecuritization Pass-Through Certificates, Series 2014-R8, Class 3-AF
-- Morgan Stanley Resecuritization Trust 2014-R9, Resecuritization Pass-Through Certificates, Series 2014-R9, Class 3-A
-- C-BASS 2007-SP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP1, Class M-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-2
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-3
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-2
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M2
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M3
-- 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
-- Securitized Asset-Backed Receivables LLC Trust 2005-EC1, Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-2
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class A-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class A-3
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-2
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B2
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B2-IO
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B3
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B3-IOA
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B3-IOB
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B4
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B4-IOA
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B4-IOB
-- Bayview Koitere Fund Trust 2017-SPL3, Mortgage-Backed Notes, Series 2017-SPL3, Class B5
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Asset Backed Securities, Series 2017-1, Class M-1
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Asset Backed Securities, Series 2017-1, Class M-2
-- COLT 2017-1 Mortgage Loan Trust, COLT 2017-1 Mortgage Pass-Through Certificates, Series 2017-1, Class A-3
-- COLT 2017-1 Mortgage Loan Trust, COLT 2017-1 Mortgage Pass-Through Certificates, Series 2017-1, Class M-1
-- COLT 2017-1 Mortgage Loan Trust, COLT 2017-1 Mortgage Pass-Through Certificates, Series 2017-1, Class B-1
-- COLT 2017-1 Mortgage Loan Trust, COLT 2017-1 Mortgage Pass-Through Certificates, Series 2017-1, Class B-2
-- Aegis Asset Backed Securities Trust 2005-2, Mortgage-Backed Notes, Series 2005-2, Class M3
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M2
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M3
-- Asset Backed Securities Corporation Home Equity Loan Trust, Series 2005-HE1, Asset-Backed Pass-Through Certificates, Series 2005-HE1, Class M4
-- Accredited Mortgage Loan Trust 2006-1, Asset-Backed Notes, Series 2006-1, Class A-4
-- 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-6
-- 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 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-2
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class M-3
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-1
-- C-BASS 2004-CB6 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB6, Class B-2
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-1
-- C-BASS 2004-CB8 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB8, Class M-3
-- C-BASS 2005-CB2 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB2, Class M-2
-- C-BASS 2005-CB2 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB2, Class M-3
-- 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-CB5 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB5, Class M-3
-- 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-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
-- 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
-- Park Place Securities Inc., Series 2004-WHQ2, Asset-Backed Pass-Through Certificates, Series 2004-WHQ2, Class M-4
-- Park Place Securities Inc., Series 2005-WCH1, Asset-Backed Pass-Through Certificates, Series 2005-WCH1, Class M-4
-- 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 5-A6
-- 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 II-A-1
-- 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

Notes:
All figures are in U.S. dollars unless otherwise noted.

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.

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