Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
December 31, 2012

DBRS, Inc. has today taken rating actions on 616 classes from 27 U.S. RMBS transactions. Of the 27 transactions reviewed, 135 classes from 7 transactions were upgraded, 245 classes from 26 transactions were confirmed and 61 classes from 17 transactions were downgraded. The classes were also removed from Under Review with Developing Implications (see “DBRS Places 6,566 Classes from 576 U.S. RMBS Transactions Under Review”, published on January 23, 2012). Of the classes confirmed, 6 classes from 2 transactions will be set to Discontinued-Repaid due to repayment of principal balance to noteholders. In addition, 175 classes from 1 transaction will remain on Under Review with Developing Implications while DBRS seeks clarification from the trustee regarding historical performance metrics.

The transactions affected by the rating actions consist of U.S. RMBS, ReREMIC, Seasoned, NIM and Synthetic transactions. A majority of these transactions affected by the rating actions are backed by primarily prime, Alt-A, and subprime residential pools.

The rating actions are a result of DBRS applying its updated U.S. RMBS Surveillance methodology dated January 23, 2012. The methodology describes the application of the DBRS RMBS Insight model in the surveillance process (see “RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology” on www.dbrs.com).

The transactions that have been upgraded have exhibited positive performance trends and experienced increases in credit support sufficient to withstand stresses at their new rating level or linked to the rating of corporate entities providing credit support to the tranche or transaction. For transactions where the rating has been confirmed, current asset performance and credit support levels have been consistent with the current rating. The downgrades taken reflect a combination of the continued erosion of credit support in these transactions as a result of negative trends in delinquency and projected loss activity.

The principal methodologies applicable are U.S. RMBS Surveillance Methodology, dated January 2012 and RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, dated January 2012, which can be found on our website under Methodologies.

Ratings

  • BCAP LLC 2011-RR11 Trust

  • Banc of America Funding 2010-R9 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Mortgage Security-Backed Certificates, Class 4-A-1Discontinued--Disc.-Repaid
    US
    31-Dec-12Mortgage Security-Backed Certificates, Class 4-A-2Discontinued--Disc.-Repaid
    US
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  • Banc of America Funding 2011-SD1 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Mortgage Pass-Through Certificates, Series 2011-SD1, Class AAAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2011-SD1, Class M1AA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2011-SD1, Class M2A (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2011-SD1, Class M3BBB (sf)--Confirmed
    US
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    Less
  • CSMC Series 2010-9R

  • Citigroup Mortgage Loan Trust 2008-2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Mortgage Pass-Through Certificates, Series 2008-2, Class A1AAA (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2008-2, Class A2AAA (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2008-2, Class B1AA (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2008-2, Class B2A (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2008-2, Class B3BBB (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2008-2, Class B4BB (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2008-2, Class B5B (sf)--Confirmed
    US
    E
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    Less
  • Citigroup Mortgage Loan Trust 2009-C

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class A2AAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class A4AAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class A5AAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class AX1AAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class AX2AAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class AX3AAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class AX4AAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class A3AA (high) (sf)--Upgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-C, Class A6AA (high) (sf)--Upgraded
    US
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  • Citigroup Mortgage Loan Trust Mortgage Pass-Through Certificates, Series 2009-A

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-A, Class AAAA (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-A, Class B1AA (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-A, Class B2A (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-A, Class B3BBB (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-A, Class B4BB (sf)--Confirmed
    US
    E
    31-Dec-12Mortgage Pass-Through Certificates, Series 2009-A, Class B5B (sf)--Confirmed
    US
    E
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  • Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class A-3AAA (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class A-5BB (sf)--Downgraded
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class A-4B (sf)--Downgraded
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-1C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-2C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-WF1, Class M-3C (sf)--Confirmed
    US
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  • Encore Credit Receivables Trust 2005-4

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class 1-AAAA (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class 2-A-4AAA (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-1A (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-2BB (sf)--Downgraded
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-3C (sf)--Downgraded
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-4C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-5C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Pass-Through Certificates, Series 2005-4, Class M-6C (sf)--Confirmed
    US
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  • First Franklin Mortgage Loan Trust, Series 2005-FF1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Mortgage Pass-Through Certificates, Series 2005-FF1, Class A-1AAAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2005-FF1, Class A-1BAAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2005-FF1, Class A-2CAAA (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2005-FF1, Class B-1C (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-1C (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-2C (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2005-FF1, Class M-3C (sf)--Confirmed
    US
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    Less
  • Greenpoint Mortgage Funding Trust 2005-HE4

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class IIA-1aBBB (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class IA-1BBB (low) (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class IIA-4cBBB (low) (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class B-1C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class B-2C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-1C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-10C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-11C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-2C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-3C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-4C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-5C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-6C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-7C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-8C (sf)--Confirmed
    US
    31-Dec-12Asset-Backed Notes, Series 2005-HE4, Class M-9C (sf)--Confirmed
    US
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  • J.P. Morgan Mortgage Trust 2005-A3

  • J.P. Morgan Mortgage Trust 2006-S1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class A-XBBB (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 1-A-1C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 1-A-2C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-1C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-2C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-3C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-4C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-5C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-6C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-8C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 2-A-9C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-1C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-2C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-4C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-6C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-7C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class 3-A-8C (sf)--Downgraded
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class A-MC (sf)--Confirmed
    US
    31-Dec-12Mortgage Pass-Through Certificates, Series 2006-S1, Class A-PC (sf)--Downgraded
    US
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  • RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-A, Class A4 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-A, Class A5 Risk BandAA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-A, Class B1 Risk BandA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-A, Class B2 Risk BandBBB (sf)--Downgraded
    US
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  • RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-C, Class A2 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-C, Class A3 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-C, Class A4 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-C, Class A5 Risk BandA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-C, Class B1 Risk BandBBB (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-C, Class B2 Risk BandBBB (low) (sf)--Downgraded
    US
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  • RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A1 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A2 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A3 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A4 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-CB1, Class A5 Risk BandAA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B1 Risk BandA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-CB1, Class B2 Risk BandA (sf)--Downgraded
    US
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  • RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-D, Class A2 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-D, Class A3 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-D, Class A4 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2003-D, Class A5 Risk BandBBB (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-D, Class B1 Risk BandBB (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2003-D, Class B2 Risk BandB (sf)--Downgraded
    US
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  • RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-A, Class A2 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-A, Class A3 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-A, Class A4 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-A, Class A5 Risk BandA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2004-A, Class B1 Risk BandBBB (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2004-A, Class B2 Risk BandBB (sf)--Downgraded
    US
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  • RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-B, Class A2 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-B, Class A3 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-B, Class A4 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-B, Class A5 Risk BandA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2004-B, Class B1 Risk BandBBB (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2004-B, Class B2 Risk BandBB (sf)--Downgraded
    US
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  • RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C

    Date IssuedDebt RatedRatingTrendActionAttributesi
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-C, Class A2 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-C, Class A3 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-C, Class A4 Risk BandAAA (sf)--Confirmed
    US
    31-Dec-12Real Estate Synthetic Investment Securities, Series 2004-C, Class A5 Risk BandA (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2004-C, Class B1 Risk BandBBB (sf)--Downgraded
    US
    31-Dec-12Real Estate Synthetic Investment Notes, Series 2004-C, Class B2 Risk BandBB (sf)--Downgraded
    US
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  • Show More Issuers
BCAP LLC 2011-RR11 Trust
Banc of America Funding 2010-R9 Trust
Banc of America Funding 2011-SD1 Trust
CSMC Series 2010-9R
Citigroup Mortgage Loan Trust 2008-2
Citigroup Mortgage Loan Trust 2009-C
Citigroup Mortgage Loan Trust Mortgage Pass-Through Certificates, Series 2009-A
Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1
Encore Credit Receivables Trust 2005-4
First Franklin Mortgage Loan Trust, Series 2005-FF1
Greenpoint Mortgage Funding Trust 2005-HE4
J.P. Morgan Mortgage Trust 2005-A3
J.P. Morgan Mortgage Trust 2006-S1
RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A
RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C
RESI Finance Limited Partnership 2003-CB1 & RESI Finance DE Corporation 2003-CB1
RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D
RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A
RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B
RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C
Show More Issuers
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.