DBRS Takes Rating Actions on 87 U.S. RMBS Transactions

DBRS, Inc. (DBRS) reviewed 1,257 classes from 87 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 1,257 classes reviewed, DBRS upgraded 112 ratings, confirmed 1,143 ratings and discontinued two ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit support levels that are consistent with the current ratings. The discontinued ratings are the result of the 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 September 27, 2018.

The pools backing these U.S. RMBS transactions consist of prime, subprime, Alt-A, non-QM, and reperforming collateral.

The ratings assigned to the securities listed below 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 actual deal or tranche performance that is not fully reflected in the projected cash flows or 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 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, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2005-9, Class 5-A-1
-- 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-2-2
-- 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
-- Citigroup Mortgage Loan Trust 2006-HE3, Asset-Backed Pass-Through Certificates, Series 2006-HE3, Class A-1
-- Citigroup Mortgage Loan Trust 2006-NC1, Asset-Backed Pass-Through Certificates, Series 2006-NC1, Class A-1
-- 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 M-1
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-1
-- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFHE4, Class M-2
-- 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-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 1A-1A
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 2A-1A
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 2A-1B
-- DSLA Mortgage Loan Trust 2005-AR6, Mortgage Pass-Through Certificates, Series 2005 AR6, Class 2A-1C
-- 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 2005-FF9, Mortgage Pass-Through Certificates, Series 2005-FF9, Class M1
-- 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
-- First Franklin Mortgage Loan Trust 2006-FF8, Asset-Backed Certificates, Series 2006-FF8, Class II-A3
-- Renaissance Home Equity Loan Trust 2005-2, Home Equity Loan Asset-Backed Notes, Series 2005-2, Class AF-4
-- Securitized Asset Backed Receivables LLC Trust 2006-NC2, Mortgage Pass-Through Certificates, Series 2006-NC2, Class A-3
-- Securitized Asset Backed Receivables LLC Trust 2007-NC2, Mortgage Pass-Through Certificates, Series 2007-NC2, Class A-1
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class A-2
-- Wells Fargo Home Equity Asset-Backed Securities 2006-3 Trust, Home Equity Asset-Backed Certificates, Series 2006-3, Class A-3
-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2
-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- Flagstar Mortgage Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-5
-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class B2-IO
-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class B3-IO
-- OBX 2018-1 Trust, Mortgage-Backed Notes, Series 2018-1, Class B-5
-- WinWater Mortgage Loan Trust 2015-A, Mortgage Pass-Through Certificates, Series 2015-A, Class B-4
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B2
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B2-IO
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3-IOA
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B3-IOB
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B4
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B4-IOA
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B4-IOB
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5-IOA
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B5-IOB
-- Bayview Opportunity Master Fund IVa Trust 2016-SPL1, Asset-Backed Notes, Series 2016-SPL1, Class B6
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B2
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B2-IO
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOA
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B3-IOB
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B4
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B4-IOA
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B4-IOB
-- Bayview Opportunity Master Fund IVb Trust 2016-SPL2, Mortgage-Backed Securities, Series 2016-SPL2, Class B5
-- 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
-- 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
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B2
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B2-IO
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B3
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B3-IOA
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B3-IOB
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B4
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B4-IOA
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B4-IOB
-- Bayview Opportunity Master Fund IVb Trust 2017-SPL4, Mortgage-Backed Notes, Series 2017-SPL4, Class B5
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B2
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B2-IO
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B3
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B3-IOA
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B3-IOB
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B4
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B4-IOA
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B4-IOB
-- Bayview Opportunity Master Fund IVa Trust 2017-SPL5, Mortgage-Backed Notes, Series 2017-SPL5, Class B5
-- Bayview Opportunity Master Fund IVa Trust 2017-RT1, Mortgage-Backed Securities, Series 2017-RT1, Class B2
-- Bayview Opportunity Master Fund IVa Trust 2017-RT1, Mortgage-Backed Securities, Series 2017-RT1, Class B3
-- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B2
-- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B2-IO
-- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3
-- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOA
-- Bayview Opportunity Master Fund IVb Trust 2017-RT2, Mortgage-Backed Securities, Series 2017-RT2, Class B3-IOB
-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B2
-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B2-IO
-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3
-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3-IOA
-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B3-IOB
-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B4
-- Bayview Mortgage Fund IVc Trust 2017-RT3, Mortgage-Backed Securities, Series 2017-RT3, Class B5
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed Securities, Series 2016-1, Class B1
-- Mill City Mortgage Loan Trust 2016-1, Mortgage Backed Securities, Series 2016-1, Clas B2
-- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed Securities, Series 2017-1, Class M3
-- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed Securities, Series 2017-1, Class B1
-- Mill City Mortgage Loan Trust 2017-1, Mortgage Backed Securities, Series 2017-1, Class B2
-- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class M3
-- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class B1
-- Mill City Mortgage Loan Trust 2017-2, Mortgage Backed Securities, Series 2017-2, Class B2
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class A4
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class M3
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class B1
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class B2
-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class A3
-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class A4
-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class M2
-- Mill City Mortgage Loan Trust 2018-1, Mortgage Backed Securities, Series 2018-1, Class M3
-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed Certificates, Series 2018-1, Class A-3
-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed Certificates, Series 2018-1, Class M-1
-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed Certificates, Series 2018-1, Class B-1
-- Angel Oak Mortgage Trust I, LLC 2018-1, Mortgage-Backed Certificates, Series 2018-1, Class B-2

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 & Criteria.

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.

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