Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
September 16, 2013

DBRS, Inc. (DBRS) has today taken rating actions on 765 classes from 46 U.S. RMBS transactions. Of the 765 ratings reviewed, 680 were confirmed, 45 classes were upgraded, 25 classes were downgraded and 15 classes were set to Discontinued-Repaid due to a repayment of principal balances to noteholders.

The transactions were reviewed in response to approximately $1 Billion in losses that were retroactively recognized on certain U.S. RMBS transactions serviced by Nationstar Mortgage LLC. The losses represent principal forbearance modifications that were enacted by the previous servicer, Aurora Loan Services LLC, which were not previously categorized as losses. DBRS analysis and resulting rating actions reflect the transaction performance to date and also the additional losses that were passed through retroactively in the July and early August remittances.

Generally, the transactions that have been upgraded exhibited positive performance trends that have led to increases in credit support sufficient to withstand stresses at their new rating level or are linked to the rating of corporate entities providing credit support to the tranche or transaction. For transactions where ratings have been confirmed, current asset performance and credit support levels have been consistent with the current ratings. 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 transactions affected by the rating actions consist of U.S. RMBS, and ReREMIC transactions. A majority of the pools backing these transactions consist of primarily Prime, Alt-A. and Subprime residential loans

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

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.

Ratings

  • 2009-1 Note Issuer LLC

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Series 2009-1 Class 1-A-1 NotesAAA (sf)--Confirmed
    US
    16-Sep-13Series 2009-1 Class 3-A-1 NotesAAA (sf)--Confirmed
    US
    16-Sep-13Series 2009-1 Class 2-A-2 NotesAA (high) (sf)--Upgraded
    US
    16-Sep-13Series 2009-1 Class 2-A-3 NotesBBB (high) (sf)--Upgraded
    US
    16-Sep-13Series 2009-1 Class 4-A-1 NotesBBB (sf)--Confirmed
    US
    16-Sep-13Series 2009-1 Class 5-A-1 NotesBB (high) (sf)--Downgraded
    US
    16-Sep-13Series 2009-1 Class 1-A-2 NotesB (sf)--Downgraded
    US
    16-Sep-13Series 2009-1 Class 3-A-2 NotesB (sf)--Downgraded
    US
    16-Sep-13Series 2009-1 Class 1-A-3 NotesC (sf)--Downgraded
    US
    16-Sep-13Series 2009-1 Class 3-A-3 NotesC (sf)--Downgraded
    US
    16-Sep-13Series 2009-1 Class 4-A-2 NotesC (sf)--Downgraded
    US
    16-Sep-13Series 2009-1 Class 4-A-3 NotesC (sf)--Confirmed
    US
    16-Sep-13Series 2009-1 Class 5-A-2 NotesC (sf)--Downgraded
    US
    16-Sep-13Series 2009-1 Class 5-A-3 NotesC (sf)--Confirmed
    US
    More
    Less
  • BCAP LLC 2011-RR11 Trust

  • BCAP LLC 2011-RR6 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Resecuritization Trust Securities, Class 11A1AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 11A2AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 11A4AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 11A3AA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 11A5AA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 11A6AA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 11A7AA (sf)--Confirmed
    US
    More
    Less
  • BCAP LLC 2011-RR9 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Resecuritization Trust Securities, Class 2A1AAA (sf)--Upgraded
    US
    16-Sep-13Resecuritization Trust Securities, Class 4A1AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 5A2AAA (sf)--Upgraded
    US
    16-Sep-13Resecuritization Trust Securities, Class 6A1AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 4A2AA (high) (sf)--Upgraded
    US
    16-Sep-13Resecuritization Trust Securities, Class 4A3AA (high) (sf)--Upgraded
    US
    16-Sep-13Resecuritization Trust Securities, Class 4A7AA (high) (sf)--Upgraded
    US
    16-Sep-13Resecuritization Trust Securities, Class 6A2AA (sf)--Upgraded
    US
    16-Sep-13Resecuritization Trust Securities, Class 6A3AA (sf)--Upgraded
    US
    More
    Less
  • BCAP LLC 2012-RR5 Trust

  • BCAP LLC 2012-RR9 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Resecuritization Trust Securities, Class 2A1AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 3A1AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 3A2AA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 3A4AA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 2A2A (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 2A3A (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 3A3A (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 3A5A (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Securities, Class 3A6A (sf)--Confirmed
    US
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  • CSMC Series 2010-4R

  • CSMC Series 2010-6R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13CSMC Series 2010-6R, Class 2-A-10Discontinued--Disc.-Repaid
    US
    16-Sep-13CSMC Series 2010-6R, Class 2-A-14Discontinued--Disc.-Repaid
    US
    More
    Less
  • CSMC Series 2010-9R

  • CSMC Series 2011-13R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13CSMC Series 2011-13R, Class 2-A-3AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-13R, Class 5-A-4AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-13R, Class 5-A-5AA (sf)--Confirmed
    US
    More
    Less
  • CSMC Series 2011-16R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13CSMC Series 2011-16R, Class 5-A-3AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 5-A-4AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 5-A-9AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 6-A-3AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 6-A-4AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 6-A-9AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 5-A-1AA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 5-A-5AA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 6-A-1AA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 6-A-5AA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 7-A-1AA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 7-A-2AA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-16R, Class 7-A-3AA (sf)--Confirmed
    US
    More
    Less
  • CSMC Series 2011-17R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Series 2011-17R, Class 1-A-1AAA (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 1-A-13AAA (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 1-A-3AAA (sf)--Confirmed
    US
    16-Sep-13Series 2011-17R, Class 1-A-4AAA (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 1-A-5AAA (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 2-A-3AAA (sf)--Confirmed
    US
    16-Sep-13Series 2011-17R, Class 2-A-4AAA (sf)--Confirmed
    US
    16-Sep-13Series 2011-17R, Class 2-A-9AAA (sf)--Confirmed
    US
    16-Sep-13Series 2011-17R, Class 2-A-1AA (high) (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 2-A-11AA (high) (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 2-A-12AA (high) (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 2-A-13AA (high) (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 2-A-5AA (high) (sf)--Upgraded
    US
    16-Sep-13Series 2011-17R, Class 3-A-1AA (sf)--Confirmed
    US
    More
    Less
  • CSMC Series 2011-1R

  • CSMC Series 2011-7R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13CSMC Series 2011-7R, Class A-1AAA (sf)--Confirmed
    US
    E
    16-Sep-13CSMC Series 2011-7R, Class A-2AAA (sf)--Confirmed
    US
    E
    16-Sep-13CSMC Series 2011-7R, Class A-3AA (sf)--Confirmed
    US
    E
    More
    Less
  • CSMC Series 2011-8R

  • CSMC Series 2011-9R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13CSMC Series 2011-9R, Class A-1AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-9R, Class A-2AAA (sf)--Confirmed
    US
    16-Sep-13CSMC Series 2011-9R, Class A-3AA (sf)--Confirmed
    US
    More
    Less
  • CSMC Series 2012-4R

  • Canvas Securitization LLC

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Canvas Securitization LLC, Series RR6, Class A-2AA (sf)--Confirmed
    US
    16-Sep-13Canvas Securitization LLC, Series RR6, Class A-1Discontinued--Disc.-Repaid
    US
    More
    Less
  • Citigroup Mortgage Loan Trust 2009-11

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1AAAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1BAAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1CAAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1DAAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1EAAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1FAAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1HAAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A2AAA (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 3A2C (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 4A2C (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A3C (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 9A2C (sf)--Confirmed
    US
    16-Sep-13Resecuritization Trust Certificates, Series 2009-11, Class 7A1GDiscontinued--Disc.-Repaid
    US
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  • Citigroup Mortgage Loan Trust 2009-4

    Date IssuedDebt RatedRatingTrendActionAttributesi
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 2A2B (sf)--Downgraded
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 11A2C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 12A2C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 13A3C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 1A2C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 3A2C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 4A3C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 6A3C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 7A5C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 7A6C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 7A7C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 7A8C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 7A9C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 8A2C (sf)--Confirmed
    US
    16-Sep-13Re-REMIC Trust Certificates, Series 2009-4, Class 9A2C (sf)--Confirmed
    US
    More
    Less
  • Show More Issuers
2009-1 Note Issuer LLC
BCAP LLC 2011-RR11 Trust
BCAP LLC 2011-RR6 Trust
BCAP LLC 2011-RR9 Trust
BCAP LLC 2012-RR5 Trust
BCAP LLC 2012-RR9 Trust
CSMC Series 2010-4R
CSMC Series 2010-6R
CSMC Series 2010-9R
CSMC Series 2011-13R
CSMC Series 2011-16R
CSMC Series 2011-17R
CSMC Series 2011-1R
CSMC Series 2011-7R
CSMC Series 2011-8R
CSMC Series 2011-9R
CSMC Series 2012-4R
Canvas Securitization LLC
Citigroup Mortgage Loan Trust 2009-11
Citigroup Mortgage Loan Trust 2009-4
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.