U.S. Structured Finance

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Presale Report

October 27, 2014

Agate Bay Mortgage Trust 2014‐3

Mortgage Pass‐Through Certificates, Series 2014‐3

Report Date October 27, 2014

Analysts Corina Gonzalez Vice President +1 212 806 3926 [email protected] Lu Ye Financial Analyst +1 212 806 3281 [email protected] Quincy Tang Managing Director +1 212 806 3256 [email protected] Kathleen Tillwitz Managing Director +1 212 806 3265 [email protected]

RMBS

Ratings

Notes: 1. Interest‐only certificates. The class balances represent notional amounts. 2. Exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents. 3. Super senior certificates. These classes benefit from additional protection from the senior support certificates (i.e., Class A‐13 and Class A‐14) with respect to loss allocation. 4. All interest rates are floored at 0%. 5. This table does not include the Class A‐IO‐S, Class R and Class LT‐R Certificates, which are entitled to the excess servicing fee and residual interest, respectively, and are not rated by DBRS. Debt5 Class Balance ($) Interest Rate 4 Credit

Enhancement Rating Rating Action Class A‐12 _333,704,000 _{Lesser of Net WAC and 3.50%} _6.35% _AAA (sf) _{New Rating – Provisional}

Class A‐22,3 _311,076,000 _{Lesser of Net WAC and 3.50%} _12.70% _AAA (sf) _{New Rating – Provisional}

Class A‐43 _233,307,000 _{Lesser of Net WAC and 3.00%} _12.70% _AAA (sf) _{New Rating – Provisional}

Class A‐82,3

248,861,000 Lesser of Net WAC and 3.50% 12.70% AAA (sf) New Rating – Provisional Class A‐92,3 _248,861,000 _{Lesser of Net WAC and 3.00%} _12.70% _AAA (sf) _{New Rating – Provisional}

Class A‐13 22,628,000 Lesser of Net WAC and 3.50% 6.35% AAA (sf) New Rating – Provisional Class A‐142 _22,628,000 _Net WAC _6.35% _AAA (sf) _{New Rating – Provisional}

Class A‐X‐11 _311,076,000 _{Net WAC minus 3.50%} _N/A _AAA (sf) _{New Rating – Provisional}

Class A‐X‐21

22,628,000 Net WAC minus 3.50% N/A AAA (sf) New Rating – Provisional Class A‐X‐31,2 _333,704,000 _{Net WAC minus 3.50%} _N/A _AAA (sf) _{New Rating – Provisional}

Class A‐X‐41 _233,307,000 Lesser of 0.50% and (Net WAC

minus 3.00%) N/A AAA (sf) New Rating – Provisional Class A‐X‐51 _15,554,000 Lesser of 0.50% and (Net WAC

minus 3.00%) N/A AAA (sf) New Rating – Provisional Class B‐1 2,138,000 Net WAC 5.75% AA (sf) New Rating – Provisional Class B‐2 4,811,000 Net WAC 4.40% A (sf) New Rating – Provisional Class B‐3 3,385,000 Net WAC 3.45% BBB (sf) New Rating – Provisional Class B‐4 6,592,000 Net WAC 1.60% BB (sf) New Rating – Provisional

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Agate Bay Mortgage Trust 2014‐3 Report Date October 27, 2014

Ratings 1 Master Servicer, Securities Administrator & Servicing Administrator 17 Transaction Summary 3 Transaction Structure 19 Strengths 3 Transaction Diagram 19 Challenges and Mitigating Factors 4 Cash Flow Structure and Features 19 Transaction Parties and Relevant Dates 5 Cash Flow Analysis 22 Rating Rationale 5 Rating Category Analysis 22 Credit Analysis Details 6 Third‐Party Due Diligence 23 Collateral Comparison 6 Representations and Warranties 24 Key Probability of Default Drivers 8 Enforcement Mechanism 24 Key Loss Severity Drivers 9 Sponsor Backstop 25 Aggregator & Originators 11 DBRS Viewpoint 25 Aggregator: TH TRS Corp. 11 Rule 17g‐7 Report 25 Originators 13 Methodologies Applied 26 Servicers and Other Counterparties 16 Monitoring and Surveillance 26 Servicers 16

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Transaction Summary

Agate Bay Mortgage Trust 2014‐3 (ABMT 2014‐3 or the Trust) is a securitization of a portfolio of fixed‐ rate, prime residential mortgages funded by the issuance of mortgage pass‐through certificates. The certificates are backed by 519 loans with a total principal balance of $356,331,530 as of the Cut‐Off Date.1 The mortgage loans were acquired by TH TRS Corp. (TH TRS or the Sponsor) directly from originators pursuant to its direct loan acquisition program.

The originators for the mortgage pool are Mortgage Master, Inc. (Mortgage Master, 13.6%), NYCB Mortgage Company, LLC (NYCB Mortgage, 13.2%), George Mason Mortgage, LLC (George Mason, 12.7%), W.J. Bradley Mortgage Capital, LLC (9.1%), Prospect Mortgage, LLC (Prospect, 8.0%), United Shore Financial Services, LLC (6.6%), Commerce Mortgage (6.0%), Cobalt Mortgage, Inc. (Cobalt, 5.8%), Parkside Lending, LLC (5.1%) and various other originators, each comprising less than 5% of the mortgage loans.

The loans will be serviced by Cenlar FSB (Cenlar). Wells Fargo Bank, N.A. (Wells Fargo, rated AA (high) and R‐1 (high) with Stable trends by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. Christiana Trust, a division of Wilmington Savings Fund Society, FSB will serve as Trustee. Matrix Financial Services Corporation (Matrix) will act as the Servicing Administrator. The transaction employs a senior‐subordinate shifting‐interest cash flow structure that is enhanced from a pre‐crisis structure. (1) High‐Quality Credit Attributes. This transaction exhibits high‐quality credit attributes, such as low

loan‐to‐value (LTV) ratios, strong borrower credit and full documentation on substantially all loans. In addition, the pool contains no interest‐only loans and no investment properties.

(2) Well‐Qualified Borrowers. The mortgage loans in the transaction were generally originated to

high‐income borrowers with considerable reserves on average, primarily through retail channels. The loans that are subject to the Qualified Mortgage (QM) and Ability‐to‐Repay (ATR) rules are categorized as Safe Harbor.

(3) Traditional Lifetime Representations and Warranties. The originators will provide traditional

lifetime representations and warranties without any sunset provisions to the Trust.

 The transaction incorporates a review by a third party for breaches of representations and warranties on loans that become 120 days delinquent.

 All breach disputes are generally subject to determination made in a related arbitration proceeding.

 The mortgage loans, except those originated by NYCB Mortgage (a subsidiary of New York Community Bank) and New York Community Bank (rated A (low) by DBRS), benefit from representations and warranties backstopped by TH TRS, an indirect wholly owned subsidiary of Two Harbors Investment Corp., Inc. (Two Harbors), in the event of an originator’s bankruptcy, insolvency proceeding or if the originator has been dissolved or liquidated.

(4) Satisfactory Third‐Party Due Diligence Review. A third‐party due diligence firm conducted

property valuation, credit and compliance reviews on 100% of the loans in the pool. Data integrity checks were also performed on the pool.

1. The collateral description and disclosure on the mortgage loans in this report reflect the approximate aggregate characteristics as of the Cut‐Off Date.

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(5) Structural Enhancements. Compared with a pre‐crisis shifting‐interest structure, the transaction employs structural enhancements that include the following:  A subordination floor is present to address tail risk and retain credit support.  In the event of a servicer loan modification, the reimbursement of servicing advances would be reduced only from the principal distribution amount. The advance reimbursements may not result in reductions in interest distribution payments. (6) 100% Current Loans. All loans are current as of the Cut‐Off Date. Except for two loans that had

previous servicing transfer‐related payment disruptions, no loan has had prior delinquencies since origination.

(1) New Issuer with Limited Securitization and Performance History. TH TRS is an indirect wholly owned subsidiary of Two Harbors. TH TRS was formed in May 2011 and is a relatively new securitizer of prime jumbo loans with limited performance history. As a mitigant, third‐party due diligence was conducted on 100% of the loans. In addition, DBRS performed a financial review of the Sponsor and its parent company, as well as an aggregator operational risk assessment on the Two Harbors conduit and deems it to be an acceptable aggregator. (2) Entities with Weak Financials or Limited Securitization History. Some of the originators in the transaction may have limited history in prime jumbo securitizations and/or may potentially experience financial stress that could result in the inability to fulfill repurchase obligations as a result of breaches of representations and warranties. In addition, the remedies in this transaction have a backstop or guaranty by an unrated entity, TH TRS. DBRS notes the following mitigating factors:  DBRS adjusted downward the originator scores of some of the lenders to account for the potential inability to fulfill repurchase obligations or the lack of performance history. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities.

 Third‐party due diligence was conducted on 100% of the loans included in the pool. A comprehensive due diligence review mitigates the risk of future representations and warranties violations.

 DBRS conducted an aggregator review of the Two Harbors conduit and deems it to be operationally sound.

(3) Servicing Administrator’s Financial Capability. In this transaction, the Servicing Administrator,

Matrix, an indirect, wholly owned subsidiary of Two Harbors, is responsible for funding advances to the extent required. Matrix is an unrated entity and may face financial difficulties in fulfilling its servicing advance obligation in the future. Consequently, the transaction employs Wells Fargo, rated AA (high) by DBRS, as the Master Servicer. If the Servicing Administrator fails in its obligation to make advances, Wells Fargo will be obligated to fund such servicing advances.

The above strengths and challenges, along with other transaction details, are discussed in depth in the relevant sections of this report.

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Transaction Parties and Relevant Dates

Transaction Parties Type Name Issuing Entity Agate Bay Mortgage Trust 2014‐3 Sponsor and Seller TH TRS Corp. Depositor Agate Bay Residential Mortgage Securities LLC Originators Mortgage Master, Inc. – 13.6% NYCB Mortgage Company, LLC – 13.2% George Mason Mortgage, LLC – 12.7% W.J. Bradley Mortgage Capital, LLC – 9.1% Prospect Mortgage, LLC – 8.0% United Shore Financial Services, LLC. – 6.6% Commerce Mortgage – 6.0% Cobalt Mortgage, Inc. – 5.8% Parkside Lending, LLC – 5.1% Other Originators – 20.0% Servicers Cenlar FSB – 100.0% Servicing Administrator Matrix Financial Services Corporation Master Servicer, Securities Administrator and Custodian Wells Fargo Bank, N.A. Trustee Christiana Trust, a division of Wilmington Savings Fund Society, FSB Relevant Dates Type Date Cut‐Off Date October 1, 2014 Expected Closing Date November 7, 2014 Payment Date The 25th day of each month or the next succeeding business day commencing in November 2014. Final Scheduled Distribution Date The distribution date in November 2044.

Rating Rationale

The DBRS rating of the certificates addresses the timely payment of interest and full payment of principal (excluding interest‐only classes) by the legal final maturity date in accordance with the terms and conditions of the certificates. DBRS based the rating primarily on the following:

 The transaction's capital structure and the form and sufficiency of available credit enhancement.  Relevant credit enhancement in the form of subordination. Credit enhancement levels are sufficient to

support DBRS‐projected expected cumulative loss assumptions under various stressed cash flow assumptions for the rated classes.

 The ability of the transaction to withstand stressed cash flow assumptions and repay investors according to the terms of the transaction documents.

 The originators’ and servicers’ capabilities with respect to originations, underwriting, servicing and financial strength.

 The credit quality of the collateral and ability of the servicers to perform collection activities on the collateral pool.

 The legal structure and presence of legal opinions addressing the assignment of the assets to the issuer and consistency with the DBRS methodology Legal Criteria for U.S. Structured Finance.

 DBRS’s ratings do not address the likelihood that there may be interest shortfalls as a result of the occurrence of extraordinary trust expenses in any given month.

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Credit Analysis Details

The table below highlights the key collateral characteristics and expected losses, when applicable, for the outstanding securitizations issued off of the ABMT shelf. Collateral Comparison (at the Cut‐Off Date)2

Pool Attributes ABMT 2014‐3 ABMT 2014‐2 ABMT 2014‐13 _{ABMT 2013‐1}3

Number of Loans 519 543 334 549 Outstanding Pool Balance $356,331,530 $374,340,300 $267,667,275 $434,174,489 Original Pool Balance $357,061,371 $375,595,766 $272,230,982 $439,938,393 Average Loan Balance $686,573 $689,393 $801,399 $790,846 WA Coupon 4.124% 4.190% 4.215% 3.911% WA FICO 765 766 769 770 WA Original CLTV 67.6% 70.5% 67.7% 69.9% WA DTI Ratio 31.5% 31.5% 32.4% 29.7%

WA Seasoning 1 month 2 months 9 months 6 months

Piggyback Seconds 3.4% 1.8% 4.8% 9.8% Interest Only 0.0% 0.0% 0.0% 0.0% Fixed Rate 100.0% 100.0% 100.0% 100.0% Origination Channel Retail 77.2% 71.8% 75.6% 90.6% Correspondent 4.8% 12.4% 15.1% 3.1% Broker 18.0% 15.8% 9.3% 6.3% Occupancy Primary Residence 96.9% 98.0% 95.7% 96.7% Second Homes 3.1% 2.0% 4.3% 3.3% Investor‐Owned 0.0% 0.0% 0.0% 0.0% Loan Purpose Purchase 58.3% 69.5% 55.4% 25.4% Rate/Term Refinance 36.1% 25.9% 39.3% 64.1% Cash‐Out Refinance 5.6% 4.6% 5.3% 10.5% Documentation Type Issuer‐Defined Full Documentation 100.0% 100.0% 100.0% 100.0% DBRS‐Defined

Full Documentation4 99.9% 99.1% N/A N/A

Property Type Single Family (incl. PUD & TH) 96.3% 96.6% 96.8% 97.3% 2‐to‐4 Family 0.3% 0.0% 1.1% 0.6% Condo and Co‐Op 3.4% 3.4% 2.1% 2.1% Qualified Mortgage Designation 2. All characteristics in this table or in this report reflect the attributes that DBRS used in its credit analysis and may not conform to the disclosure in the transaction documents. Certain attributes, including FICO (current to the extent available), LTV and documentation types have been adjusted based on the DBRS review of the third‐party due diligence results, Case‐Shiller home price indices and other relevant assessments, as described further in the related sections.

3. These transactions were not rated by DBRS. The information contained in this table is sourced from the transaction offering documents. The WA FICO for these two transactions were as of origination, while the subject transaction’s WA FICO combines origination and updated FICO scores when available.

4. Generally, certain documentation types may be adjusted based on DBRS’s review of the third‐party due diligence results. Collateral Description and Comparison

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Pool Attributes ABMT 2014‐3 ABMT 2014‐2 ABMT 2014‐13 _{ABMT 2013‐1}3

QM Safe Harbor 98.9% 98.6% 51.8% 0.0%

QM Rebuttable Presumption 0.0% 0.0% 0.0% 0.0%

Non‐QM 0.0% 0.0% 0.0% 0.0%

Not Subject to QM 1.1% 1.4% 48.2% 100.0%

Geographic Concentration

State 1 43.2% (CA) 43.1% (CA) 55.0% (CA) 46.4% (CA)

State 2 11.0% (MA) 10.4% (WA) 12.2% (WA) 12.2% (IL)

State 3 9.4% (VA) 9.2% (MA) 10.0% (VA) 10.5% (WA)

Originators (Top 3) Originator 1 13.6% (Mortgage Master) 14.8% (Mortgage Master) 12.8% (RPM) 21.3% (Guaranteed Rate) Originator 2 13.2% (NYCB Mortgage) 14.5% (George Mason) 10.8% (NYCB Mortgage) 19.8% (Opes) Originator 3 12.7% (George Mason) 10.3% (American Pacific) 10.8% (Cobalt) 19.7% (RPM) Servicers

Servicer 1 100.0% (Cenlar) 100.0% (Cenlar) 100.0% (Cenlar) 98.9% (Cenlar)

Servicer 2 N/A N/A N/A 1.1% (PHH)

Loss Expectation

AAA (sf) 5.50% 5.75% N/A N/A

AA (sf) 4.25% 4.50% N/A N/A

A (sf) 3.05% 3.25% N/A N/A

BBB (sf) 1.90% 2.00% N/A N/A

BB (sf) 0.95% 1.00% N/A N/A

B (sf) 0.55% 0.55% N/A N/A

Securitization Performance (as of September 25, 2014)

Current N/A N/A 98.5% 99.7%

30‐Day Delinquent N/A N/A 1.5% 0.1%

60+‐Day Delinquent5 _N/A _N/A _0.0% _0.2%

Senior Original CE 6.35% 7.40% 6.20% 7.70%

Senior Current CE N/A N/A 6.36% 8.21%

DBRS uses its proprietary RMBS Insight model to derive probability of defaults, loss severities and expected losses for the ABMT 2014‐3 portfolio. The figures below represent the probability of defaults, loss severities and expected losses on the portfolio, generally rounded up from the raw model results.

DBRS Default Probability, Loss Severity and Expected Loss for ABMT 2014‐3

Rating Probability of Default Loss Severity Expected Loss

AAA (sf) 13.11% 41.97% 5.50% AA (sf) 11.30% 37.63% 4.25% A (sf) 8.89% 34.32% 3.05% BBB (sf) 6.03% 31.53% 1.90% BB (sf) 3.59% 26.50% 0.95% B (sf) 2.27% 24.19% 0.55% 5. This bucket includes 60‐day and more serious delinquencies, loans in foreclosure and bankruptcy, as well as REO properties.

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LTV Ratio and Future Equity For certain more seasoned loans where updated valuations are not provided, DBRS indexed the original property values using the Case‐Shiller home price indices within their proper price tiers (when price tiers are available); however, property appreciation is not generally awarded. The DBRS‐calculated weighted‐average original combined LTV (CLTV) of 67.6% suggests borrowers have considerable equity in their homes. While approximately 3.4% of the pool has piggybacks, these loans represent a strong weighted‐average original CLTV of 64.7%. There are no second liens included in this pool.

DBRS calculates future equity (in two years) for every loan using its metropolitan statistical area (MSA)‐ level base house price forecast model and applies additional market value decline (MVD) assumptions by rating category (described further in the Key Loss Severity Drivers section). The top three MSAs in this pool are Washington‐Arlington‐Alexandria, District of Columbia‐Virginia‐Maryland (10.5% of the pool), Oakland‐Fremont‐Hayward, California (7.7% of the pool) and San Francisco‐San Mateo‐Redwood City, California (7.4% of the pool). When forecast over a two‐year horizon, the DBRS‐projected CLTV at the B rating level equals 63.1%, representing sizable equity after base home price forecasts and MVD stresses. Borrower Credit The weighted‐average FICO score of 765 indicates strong borrower credit profiles. Approximately 5.3% of the loans have FICOs lower than 720, and 3.9% have FICOs of 800 or higher. When underwriting the loans, the originators used the middle of three or lower of two scores. Clean Payment Histories The pool is on average one month seasoned, with a maximum age of three months. Except for two loans that had previous servicing transfer‐related payment disruptions, no loan has had prior delinquencies since origination. DBRS does not generally treat servicing transfer‐related payment disruptions as delinquencies in the loss model. Documentation Type Of the loans in ABMT 2014‐3, 100.0% were underwritten to a full documentation standard. In addition, 90.0% were either (1) loans to wage‐earners underwritten with 24 months or more of income verification or (2) loans to self‐employed borrowers underwritten with 24 months or more of income verification and included a CPA Certification of the tax returns (Income Level 5 according to the American Securitization Forum standard) and had full asset and employment verification as well. After reviewing the third‐party due diligence results, DBRS considers 0.1% of the loans to not have full documentation. While full documentation varies slightly among the originators, it generally consists of:  Two years of W‐2 forms and paystub(s) with year‐to‐date earnings.  Verification of employment.  A signed and executed IRS 4506‐T form.  Verification of deposit or two months of bank statements for closing funds and reserves.

In addition, the borrowers are expected to have been current on their prior mortgage (or rental) payments for at least 24 months, or 12 months for loans locked or registered prior to July 7, 2014.

Product Type

The collateral pool consists of 100.0% first‐lien fixed‐rate mortgages generally with an original term to maturity of 30 years. None of the loans have interest‐only features. Fully amortizing fixed‐rate loans generally pose the lowest default risk given the stability in monthly payments.

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Occupancy (Percentage of Second Homes)

Approximately 3.1% of the loans are to finance second homes. These loans represent slightly higher default risk (1.2x penalty) relative to owner‐occupied loans. However, the liquid reserves of approximately $804,000 for these borrowers are higher and the debt‐to‐income (DTI) ratio of 29.5% for these loans is lower. The second‐home borrowers also have higher total annual incomes of approximately $467,000. There are no investment properties in this pool. Geographic Concentration and Large Loans The ABMT 2014‐3 pool has a relatively concentrated geographic composition, with California representing 43.2% of the pool and the top three states representing 63.6%. The average loan size of $686,573, while elevated, is not considered significant for a non‐conforming pool, given that the maximum conforming loan limit for high‐cost areas is as high as $625,500 for single‐family homes.

DBRS measures concentration risk by a Herfindahl index calculated on both a geographic (MSA level) and loan‐size basis. The concentration measure, along with credit quality, derives the level of asset correlation, which is an important factor in the determination of rating category stresses. Compared with other recent DBRS‐rated prime jumbo securitizations in the market, the asset correlation for this portfolio suggests a comparable level of concentration.

DBRS calculates loss severity as follows:

(1) A recovery value is estimated from the statistical recovery model. In order to derive a recovery value, DBRS first estimates an updated property value at liquidation, which includes the following considerations:

 The number of months each subject loan takes to migrate through the delinquency, foreclosure and real estate owned (REO) timeline.  MSA‐level base home price forecast.  MVD stress by rating category.  Distressed sale discount of 30.8%.  Further adjustment based on borrower and property characteristics. (2) Interest advancing (through liquidation) is subtracted from the recovery. (3) Loss is calculated as the shortfall of recovery to loan balance outstanding. Base Home Price Forecast (MSA Level) DBRS developed its own home price forecast model to estimate the expected level of house prices, as well as their distribution, which can then be used to predict future MVDs. Using the series‐level Case‐Shiller index, the real home prices are calculated as the ratio of the house price index to the consumer price index (CPI; January 2002 = 100). The model separates real house price movements into two components: the direction of the movement and its magnitude. The direction of the movement is modeled using logistic regression. The factors in the model are (1) the real house price index, (2) an indicator that the series is volatile and (3) whether the series is currently in an overheated state. The magnitude of the quarterly movement is modeled as a Weibull distribution with a mean that matches the mean of the series.

MVD (by Rating Level)

DBRS applies an MVD to all property values, ranging from 27% in the AAA scenario to 4% in the B scenario, and to all rating levels.

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Distressed Sale Discount DBRS applies a 30.8% haircut to the updated property values. This haircut is meant to address property sales in a liquidation scenario, which often represent distressed sales and therefore beaten‐down prices. The value, one of the terms of the recovery model, has been estimated from past liquidations. In addition, the haircut also includes liquidation costs, such as maintenance, repairs, attorney and real estate agent fees, etc. Further Property Value Adjustment (Generally Negative) Once the distressed sale discount is applied, further value adjustments, calculated based on the updated property value, are made based on the following characteristics. These adjustments are generally negative:  Expensive and inexpensive properties,  Months in REO,  Property type,  Occupancy,  FICO,  Months since loan origination and  Property state.

These adjustments are made because each has a significant impact on the actual recovery percentage. Based on DBRS’s analysis, each month in REO reduces the recovery amount by 1.8%. Expensive and inexpensive properties tend to recover less as a percentage of updated property value. Two property types are called out as different: manufactured homes and multi‐unit, each of which produces lower recoveries, but neither exist in this pool. Investor homes and second homes have reduced recovery rates. Homes associated with higher‐FICO borrowers have improved recovery rates. Recovery declines with increased time since loan origination. Additionally, a handful of states (Ohio, Illinois, Pennsylvania and Michigan) had reduced recovery rates.

Advancing (Calculated Based on the Note Rate at a State Level)

The servicers or the Servicing Administrator are obligated to advance for principal and interest for delinquent mortgages as long as such advances are deemed recoverable. If the servicers or the Servicing Administrator fail in their obligations to advance, the Master Servicer will be obligated to fund such servicing advances.

Given the expected performance of a prime pool, as well as the financial strength of the servicers, the Servicing Administrator and/or the Master Servicer, DBRS assumes that servicer advancing would occur and continue through liquidation.

Interest advancing at the note rate is included in the loss severity calculation. In the B rating base‐case scenario, the number of months of interest that is advanced follows the DBRS‐derived state‐by‐state timeline. For each rating level higher than B, two incremental months are added to the timeline of the previous rating category.

Qualified Mortgage Treatment

Certain mortgage loans (98.9% of the pool) had loan application dates on or after January 10, 2014, and are subject to the QM and ATR rules (the QM/ATR Rules) issued by the Bureau of Consumer Financial Protection (CFPB) as part of the Dodd‐Frank Act. These loans are designated as QM Safe Harbor, which mitigates future litigation risk and provides a level of assurance that these loans are better insulated from claims and defenses by borrowers. DBRS assumes that a QM Safe Harbor borrower will not file an ATR claim and, consequently, does not apply any additional loan‐level loss severity adjustments. A third‐party due diligence firm confirmed the correct QM designation for these loans and reviewed them for compliance with the QM/ATR Rules.

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Borrower Income and Liquid Reserves

For the entire pool, the (non‐zero) weighted‐average primary borrower income exceeds $246,000 annually. The weighted‐average liquid reserve for the loans is approximately $348,000, which is enough to cover over seven years of monthly mortgage payments. On average, 10.7% of the loans have liquid reserves higher than their current loan balance.

Multiple Loans to a Single Borrower

Approximately 39.8% of the borrowers have more than one mortgaged property. Borrowers with three or more mortgages (with a maximum of four) represent 8.3% of the pool and generally show considerable income and liquid reserves. The weighted‐average DTI ratio for borrowers with multiple properties is 32.6%, slightly above the overall DTI ratio for the entire pool of 31.5%. Two borrowers in the pool have two mortgages that have been included in this securitization. Self‐Employed Borrowers Approximately 20.7% of the loans are to self‐employed borrowers. Compared with the salaried borrowers in the pool, the self‐employed borrowers have lower CLTVs and higher income.

As confirmed by third‐party due diligence, when underwriting the self‐employed loans, all loans had at least two years of personal or business tax returns from either a borrower or a co‐borrower. Certified Public Accountant certifications were provided by approximately 34.9% of the self‐employed borrowers.

Aggregator and Originators

TH TRS Whole‐Loan Acquisition Channel (TH TRS Conduit)

TH TRS was incorporated in May 2011 and is the wholly owned subsidiary of Two Harbors that is responsible for acquiring primarily prime jumbo mortgage loans through its conduit. Incorporated in May 2009, Two Harbors is a real estate investment trust (REIT) externally managed by a subsidiary of Pine River Capital Management LP. TH TRS began acquiring mortgage loans in 2011.

The loans in this portfolio were acquired by TH TRS through its whole‐loan acquisition channel from various third‐party originators. All the loans in this portfolio were purchased on a flow basis. DBRS conducted a review of TH TRS’s conduit operation and deems TH TRS to be an acceptable aggregator.

Originator Review Process and Monitoring (Flow)

TH TRS performs an on‐site review of each of the originators that includes senior management team, company background, loan performance/repurchase activities, business strategy (including geographic footprint and channel focus) and length of time in business. The initial evaluation is then followed by a seller application submitted with audited financial statements, resumes and organizational charts, and an on‐site due diligence review, as well as credit, compliance and collateral reviews of sample loan files. With each originator, TH TRS enters into a mortgage loan purchase agreement that specifies various contract terms, including the sale and transfer, administration and servicing (if applicable) of the mortgage loans, as well as representation and warranty provisions. As part of its monitoring process, TH TRS’s counterparty oversight committee conducts an annual on‐site review of each of the originators in its conduit program, which covers substantially the same items as the initial review. In addition, originators may be reviewed more frequently for certain material changes. TH TRS monitors credit performance on a monthly basis and financial condition on a quarterly basis.

Aggregator: TH TRS Corp. Other Considerations

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Loan Acquisition and Third‐Party Due Diligence (Flow)

Prior to loan acquisition, a third‐party due diligence firm performs reviews on credit, compliance, collateral files and property valuation for compliance with the TH TRS Seller Guide.

Appraisals are reviewed on a pre‐closing basis. For each loan submitted, TH TRS orders a desktop valuation analysis product and shares with the diligence firm to validate the appraisal. For larger loans where two appraisals are required, a desktop valuation analysis product will be compared to the lower of the two appraisals. If the initial desktop review falls outside of TH TRS’s tolerance levels of variance, a field review will be ordered by the originator.

Credit and compliance due diligence is conducted on a post‐closing, pre‐funding basis and generally encompasses document inventory, guideline standards, data analysis and verification, credit risk evaluation, fraud check and compliance review. Based on the relevant documents in the loan files, the diligence firm evaluates mortgage loans for the borrower’s willingness and ability to repay the obligation; re‐calculates income, liabilities, DTI and LTV ratios; confirms credit scores and histories were within origination guidelines; examines income, employment, assets and occupancy for reasonability; reviews occupancy checks by using available fraud prevention tools; and tests to verify QM and ATR status. Third‐party due diligence is performed on 100% of the TH TRS conduit loans. Underwriting Criteria All underwriting is delegated to the originators and the loans purchased through the conduit must meet the criteria in the TH TRS Seller Guide. DBRS analyzed the following key areas of the underwriting guidelines provided by TH TRS. The guidelines may vary slightly, but generally conform to the following standards:

(1) Income and Employment Verification. For a salaried borrower:

 Two years of W‐2s.

 The most recent pay stub with year‐to‐date earnings, documenting at least 30 days of income.  Verbal verification of employment required within ten calendar days of the note date.  A 4506‐T is required to be executed. For self‐employed (borrowers with 25% or more ownership interest):  Two years of personal returns.  Two years of business tax returns.  Verification of self‐employed business by a third‐party source required within 30 calendar days of the note date.  Completed FHLMC Income Analysis Form 91 or comparable form.  A 4506‐T is required to be executed.

(2) Asset Verification. Full verification of assets is required, which includes the two most recent

months of bank statements. (3) Reserve Requirement. Minimum reserve of six months to 36 months of loan payments will vary by LTV, loan amount, FICO, occupancy, loan purpose and property type. (4) Credit Report/Score. Credit reports/scores must be from within the last 90 days. The middle of

three scores or lower of two scores is applied. The lowest of all borrowers’ scores is used for qualification.

(5) Prior Mortgage or Rental Delinquency. Borrower must be 0 x 30 days delinquent on any

mortgage or rental accounts for at least 12 months or 24 months. Borrowers with prior bankruptcy, foreclosure, short sales or deeds in lieu are not allowed.

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(6) Appraisal. Two appraisals are required for loans greater than $1 million or $2 million, depending on loan purpose. Appraisals must be within 90 days (extended to 120 days or 180 days post‐July 1, 2014) of the note date. (7) Maximum LTV, DTI, Cash‐Out Amount and Minimum Credit Score. The maximum LTV, cash‐out amount and minimum credit score will vary by loan amount, purpose, occupancy and property type. The maximum DTI permitted is 43%.

(8) Tradelines. For loans locked or registered on or after July 7, 2014, a borrower(s) credit profile

must include a minimum of one to three tradelines, depending on the type and other features of the tradelines, as well as borrower credit histories. Certain compensating factors on longer credit histories can be considered without the loan being viewed as an exception. (9) Subordinate Financing. Subordinate financing is allowed from an institutional lender, subject to LTV/CLTV maximums. Historical Performance Since the program’s inception, the TH TRS conduit has executed three securitizations to date. The loans included in the securitizations are substantially current. Historical Performance of TH TRS Conduit Securitizations ABMT 2014‐3 ABMT 2014‐2 ABMT 2014‐16 ABMT 2013‐16

Closing Date Nov 20147_Sept 2014 _{Aug 2014 Aug 2013}

Loan Count at Issuance 519 543 334 549

Outstanding Balance at Issuance $356MM $376MM $268MM $434MM

Securitization Performance (as of September 25, 2014)

Current N/A N/A 98.5% 99.7%

30‐Day Delinquent N/A N/A 1.5% 0.1%

60+‐Day Delinquent8 _N/A _N/A _0.0% _0.2%

Cumulative Realized Loss N/A N/A 0.0% 0.0%

Mortgage Master, Inc.

Mortgage Master is the originator of approximately 13.6% of the loans in this transaction. DBRS performed a review of Mortgage Master’s origination platform and believes the company is an acceptable mortgage loan originator. Founded in 1988, Mortgage Master is one of the largest privately owned lenders in the nation, and the biggest volume residential mortgage lender in Massachusetts. The Company currently employs over 750 mortgage professionals nationwide, including more than 280 licensed Loan Officers who originate loans and provide lending services in the following 26 states: California, Colorado, Connecticut, Delaware, District of Columbia, Florida, Georgia, Illinois, Indiana, Kansas, Maine, Maryland, Massachusetts, Michigan, Minnesota, New Hampshire, New Jersey, New York, North Carolina, Pennsylvania, Rhode Island, Texas, Vermont, Virginia, Washington and Wisconsin. 6. These transactions were not rated by DBRS. 7. This date represents the expected closing date of the transaction. 8. This bucket includes 60‐day and more serious delinquencies, loans in foreclosure and bankruptcy and REO properties. Originators

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Mortgage Master is a direct lender that utilizes its own funds to initiate and close loans. Over the past five years, the company originated over 75,000 loans totaling $25 billion and expects to close $4 billion loans in 2014. While the company originates primarily through its retail channel, it does have 60 correspondent and 15 broker relationships. Utilizing both delegated and non‐delegated underwriting programs, Mortgage Master predominantly originates Qualified Mortgage (QM) loans that adhere to investor‐ specific guidelines that may, at times, have more restrictive overlays. The Company employs a staff of 33 underwriters who are centralized in Walpole, Massachusetts. Underwriters typically have a minimum of three years of experience, with many averaging ten to 20 years of industry experience. Loans are assigned based upon technical expertise and branch. Underwriters are compensated with a base salary and a bonus for underwriting more than the target number of files each day.

Mortgage Master has an experienced executive management team that averages over 18 years of industry experience and approximately 22 years of company tenure. Mortgage Master uses AllRegs Branded University to select required courses for online training and uploads self‐created training modules, as necessary. All employees are required to take and complete mandatory training, and pass an exam. The national sales team also conducts periodic investor or product‐specific training throughout the year, with training materials housed on the Mortgage Master Intranet. Compliance checks are built into the Loan Origination System with an Ability‐to‐Repay/QM risk evaluator that has hard stops, which will not let you proceed without correcting the error. Mortgage Master does not have its own internal audit department. However, the Company employs the Stonehill Group to conduct assessments of closed loans and to report the findings to the Compliance Department. An independent third‐party vendor performs an annual HUD (Department of Housing and Urban Development) audit. On October 9, 2013, the CFPB fined Mortgage Master $425,000 for reporting inaccurate information about home mortgage loans, in violation of the Home Mortgage Disclosure Act (HMDA). The CFPB claimed that it found data errors in mortgage loan applications reported by the Company in 2011. As a result, Mortgage Master utilizes outside vendors to conduct independent reviews with regard to Fair Lending and HMDA. Mortgage Master has a Quality Control (QC) department staffed with ten people who perform six types of QC reviews utilizing both internal staff and third‐party vendors, including: (1) A pre‐funding internal QC “compliance” review of 100% of loans that are cleared to close, (2) A pre‐funding “full underwrite” internal QC review of approximately 5% of loans, (3) A post‐closing external random sample QC review of at least 10% of loans, (4) A post‐closing external discretionary sample review, (5) A post‐closing external targeted sample review and (6) An internal audit of the third‐party vendor’s QC review.

Mortgage Master has two certified in‐house appraisers, but the process is outsourced to LenderX, an appraisal management firm. LenderX has list of approved Mortgage Master appraisers, and when they get a request, they send a list of the appraisers that they believe are the most qualified in the area to Mortgage Master’s appraisal manager, who ultimately selects the appraiser. The in‐house appraisers also review appraisal reports for accuracy and may recommend that additional supporting comparables be obtained to further justify the value.

Mortgage Master performs quarterly disaster recovery testing, with the last one being done on June 1, 2014, with no issues identified. All systems are backed up on a nightly basis, with full conventional backups completed weekly. Critical loan level data is incrementally backed up hourly, and storage replication is sent hourly to an offsite datacenter in Marlboro, Massachusetts.

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George Mason Mortgage, LLC George Mason is the originator of approximately 12.7% of the loans in this transaction. DBRS performed a review of George Mason’s origination platform and believes the company is an acceptable mortgage loan originator. George Mason was founded in 1980 and is a wholly owned subsidiary of Cardinal Bank. The company is headquartered in Fairfax, Virginia, with retail offices throughout Virginia, Washington, D.C. and Maryland. In 2013, George Mason stopped doing business with third parties because of market changes to compliance and regulatory requirements. As a result, George Mason now originates all product through its 17 retail mortgage branches. In 2013, the company originated over 16,000 loans totaling $5.8 billion and, as of August 2014, has originated approximately 6,000 loans totaling close to $2.0 billion. The company’s ongoing strategy is to continue to grow the business and increase market share.

George Mason has an experienced executive management team that averages over 20 years of industry experience and more than 15 years of company tenure. The company employs 435 full time equivalents and 25 underwriters averaging over ten years of industry experience. All employees are required to complete training courses through BVS Performance Solutions and to participate in industry webinars. Policies and procedures are updated annually and stored on the company’s intranet.

George Mason originates Qualified Mortgage loans that adhere to investor‐specific guidelines. Detailed procedures and a loan checklist are followed in all cases to ensure accuracy and data integrity. Exceptions are rare and can only be approved by the investor. The company reviews 100% of loans prior to closing for regulatory compliance and performs a 10% QC audit on closed loans to ensure they were originated in compliance with program guidelines. George Mason does not currently have its own internal audit department; however, all audits are done by its parent, Cardinal Bank.

George Mason has a list of approved appraisers that are reviewed and managed by QC and underwriting management for licensing and certification. The company’s internal system selects the appropriate appraiser for the property, and each branch utilizes an appraiser rotation process to assign jobs. At this time, the company does not employ any staff appraisers or have an internal appraisal department. All appraisals are reviewed and approved by investors or their designated third‐party vendors prior to purchase.

George Mason utilizes the Encompass® origination system. While the company does system back‐ups every 15 minutes, it has not performed a disaster recovery test in the last three years. The company indicated that this is a priority for them and they are in the process of updating and testing their disaster recovery plan. Prospect Mortgage, LLC Prospect is the originator of approximately 8.0% of the loans in this transaction. DBRS performed a review of Prospect’s origination platform and believes the company is an acceptable mortgage loan originator. Headquartered in Sherman Oaks, California, Prospect is a retail mortgage company primarily focused on the purchase market. Prospect is a national originator and approved Fannie Mae, Freddie Mac and Ginnie Mae seller‐servicer. Prospect sources its loan products and programs directly to consumers through its loan officer sales force as well as with marketing techniques such as e‐mail, internet advertising and referral sources. As well, Prospect sources a very small percentage of its portfolio through its correspondent channel. Prospect was formed in 2006 by Sterling Partners and has been originating loans for several years.

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The company maintains over 980 sales associates across 24 states, with approximately 115 retail branches, the majority of which are located in California. As well, Prospect has seven Operational Centers of Excellence where centralized loan processing, underwriting and closing functions are performed. All jumbo prime functions are performed centrally from the company’s Sherman Oaks operation.

Prospect has an experienced executive management team that has several years of experience in the mortgage industry (some with over 20 years of experience) and an average of four years of company tenure. Additionally, the company’s underwriting staff averages over 20 years of industry experience. The company utilizes a metrics‐driven staffing plan and employs a staff of approximately 1,950 full‐time equivalents (FTE). Prospect maintains a dedicated training department, with solid training programs that include compliance and regulatory training as well as job‐level functional training. Staff receive approximately 20 to 30 hours of training annually. Prospect adheres to investor guidelines for underwriting, with some overlays for credit and fraud identification. Files are underwritten to agency and government program guidelines or investor‐specific standards. Prospect supports a focused control environment. Risk management and controls are monitored by the Enterprise Risk Management Committee, with the executive team and a representative of the Board as voting members. Prospect’s Compliance Group performs regulatory compliance reviews of the platform as well as reviews on 10% of all production to ensure compliance with all regulatory requirements. QC reports to the company’s Legal Department, which maintains separation from the business units. QC manages pre‐ and post‐funding file reviews that are performed on over 30% and 10% of originations, respectively. As well, any early payment defaults undergo a thorough review for causation, including process gaps and policy/training issues. Prospect’s internal audits are managed through the Legal Department and are regularly performed by external third‐party consultants.

Other Originators

The ABMT 2014‐3 transaction also contains mortgage loans from other originators and, in accordance with DBRS criteria, DBRS did not conduct an operational risk assessment on some of the originators because of their relatively small contributions to the pool. However, third‐party due diligence was performed on 100% of the pool, which was reviewed by DBRS in detail.

Servicers and Other Counterparties

Cenlar FSB Cenlar services 100.0% of the loans in this transaction. DBRS performed a review of Cenlar and believes that the servicer demonstrates acceptable mortgage‐servicing capabilities. Cenlar is a leading loan servicing provider and has been actively engaged in mortgage loan servicing and subservicing as a core business for more than 40 years. The company, formerly known as Cenlar Federal Savings Bank, changed its name to Cenlar FSB in November 1996. The company was founded in 1912 and is based in Trenton, New Jersey. Cenlar operates as a subsidiary of Cenlar Capital Corporation.

Cenlar services residential mortgage portfolios for clients across the United States and its territories. As of March 31, 2014, Cenlar serviced a portfolio of over one million loans with an unpaid principal balance of $206.5 billion and maintains an effective staffing model that is aligned with loan volumes. The company employs a servicing staff of approximately 1,000 FTE, 13% of which consists of temporary or contract employees. Cenlar maintains annualized turnover rates of approximately 18.19% and utilizes extensive training programs for both new hires and ongoing staff, providing learning materials that drive key metrics in the business, as well as addressing the leadership and professional development needs of individuals throughout the organization.

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Cenlar has an experienced management team and staff to fully support its servicing strategies. Executive and senior managers average over 32 years of industry experience and many senior managers average over 20 years of company tenure. The company maintains an industry‐standard technology platform and focused control processes, as well as dependable loan management and default management practices.

As a third‐party servicer, Cenlar maintains proficient loan transfer and boarding processes. The transfer operations unit works in tandem with a dedicated client manager to complete detailed project plans that define business rules and comprehensive analysis of data and reporting requirements. The new loans department effectively utilizes imaging solutions and QC workflows to automatically queue loans for review once all required documents are received. In order to maintain a stable and efficient work force, Cenlar utilizes a third party to perform over 98% of the new loan boarding QC reviews.

Cenlar employs capable default management tools to achieve its collection and loss mitigation efforts. The company records 100% of calls, and at any time during the delinquency cycle, collectors may transfer an account to the loss mitigation department. Cenlar uses a proprietary loss mitigation tool to assist loss mitigation staff in determining the most appropriate workout options. In addition, the company maintains a stand‐alone single point of contact (SPOC) default team and an internally developed SPOC contact workstation to monitor, assign and track loan status by agent. While Cenlar has acceptable servicing procedures that comply with industry standards, default management instructions, including how to handle REO, are typically dictated by the client.

Cenlar maintains a focused control environment, including a well‐defined QC and audit program that performs ongoing monthly performance reviews of all operational areas. Additionally, Cenlar maintains comprehensive compliance oversight boards and committees to oversee the company’s compliance with all applicable changes to federal, state and local laws, as well as regulations or changes to various agency guidelines.

Cenlar maintains a highly integrated technology platform. The company uses the LPS Mortgage Servicing Platform for its core servicing processes, enhanced with wraparound systems for customized workflow processes and robust analytics and reporting capabilities to ensure timely updates to its clients.

Master Servicer

Wells Fargo, a wholly owned subsidiary of Wells Fargo & Company, acts as Master Servicer for ABMT 2014‐3. Wells Fargo & Company is a nationwide, diversified, community‐based financial services company with assets valued at $1.6 trillion. DBRS performed an on‐site review of Wells Fargo and believes that the company has demonstrated adequate mortgage master servicing capabilities. As Master Servicer, Wells Fargo is responsible for the receipt of monthly servicer reports and remittances, and for the monitoring of the servicer under the terms of its underlying servicing agreement. In particular, the Master Servicer independently calculates monthly loan balances based on servicer data, compares its results with servicer loan‐level reports and reconciles any discrepancies with the servicer. In addition, upon the occurrence of certain servicer events of default under the terms of the servicing agreement and the pooling and servicing agreement, the Master Servicer may be required to enforce certain remedies on behalf of the issuing entity against such defaulting servicer. Wells Fargo has been engaged in the business of master servicing since June 30, 1995. As of June 30, 2014, Wells Fargo was acting as Master Servicer for approximately 1,797 series of residential mortgage‐backed securities with an aggregate outstanding principal balance of approximately $342,846,000,000.

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Securities Administrator

Wells Fargo is also responsible for securities administration, which includes pool performance calculations, distribution calculations and the preparation of monthly distribution reports. As Securities Administrator, Wells Fargo is responsible for the preparation and filing of all real estate mortgage investment conduit (REMIC) and grantor trust tax returns on behalf of the issuing entity. Wells Fargo has been engaged in the business of securities administration since June 30, 1995. As of June 30, 2014, Wells Fargo was acting as Securities Administrator with respect to more than $658,004,000,000 of outstanding residential mortgage‐backed securities.

As the Securities Administrator, Wells Fargo will perform, on behalf of the Trustee, the duties of authentication agent, calculation agent, paying agent and certificate registrar.

Servicing Administrator

Matrix will act as Servicing Administrator with respect to the mortgage loans and will be primarily responsible for (1) funding servicing advances and advances of delinquent scheduled interest and principal payments for the mortgage loans, unless such amounts would not be recoverable; (2) covering prepayment interest shortfalls, to the extent not paid from amounts payable to the Class A‐IO‐S Certificates, that occur with respect to the mortgage loans up to the amount of the aggregate servicing fee for the related month; (3) paying termination fees to the servicer if Matrix elects to terminate the servicer without cause and appoint a successor, with the consent of the Master Servicer and the Trustee; and (4) having the authority to remove the servicer if the servicer defaults in its servicing obligations and retaining a successor servicer, with the consent of the Master Servicer and the Trustee, or unless the successor servicer is the Master Servicer, approving such appointment.

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Transaction Structure

Class A Certificates (Senior Certificates) Class B Certificates (Subordinate Certificates) Trustee Christiana Trust, a division of Wilmington Savings Fund Society, FSB Servicer Cenlar FSB Master Servicer and Securities Administrator Wells Fargo Bank, N.A. Servicing Administrator Matrix Financial Services Corporation Depositor Agate Bay Residential Mortgage Securities LLC Seller TH TRS Corp. Issuing Entity Agate Bay Mortgage Trust 2014‐3 Originators Mortga ge Master, Inc. NYCB Mortga ge Company, LLC George Mason Mortgage, LLC W.J. Bra dl ey Mortgage Ca pital, LLC

Pros pect Mortgage, LLC Uni ted Shore Financial Services, LLC Commerce Mortgage Coba l t Mortgage, Inc. Pa rks ide Lending, LLC Other Ori ginators Available Distribution Amount For each related distribution period, the available distribution amount is the sum of:  Scheduled interest (net of aggregate expenses and fees) and principal payments.  Servicer or Servicing Administrator advances of interest and principal on delinquent loans.  Full and partial prepayments of principal and prepayment interest shortfalls.  Insurance proceeds and net liquidation proceeds.  Any other recoveries of funds and repurchase and substitution amounts. Minus:  Advances and other amounts that the servicer, the Servicing Administrator and the Master Servicer are entitled to be reimbursed.  Related expenses. Cash Flow Structure and Features Transaction Diagram