Press Release

DBRS Takes Rating Action on U.S. RMBS Securities

RMBS
July 31, 2014

DBRS has today reviewed 177 classes from 42 U.S. residential mortgage-backed security (RMBS) transactions. Of the 177 classes reviewed, 126 classes were upgraded, 50 classes were confirmed and one class was downgraded. Of the confirmed classes, one of the classes was placed as Discontinued – Repaid, due to full principal repayment to bondholders. All of the classes reviewed were also removed from Under Review with Developing Implications (see “DBRS Publishes Updated U.S. RMBS Surveillance Methodology and Places Ratings Under Review with Developing Implications,” published on March 3, 2014).

The transactions that have been upgraded have exhibited positive performance trends and have experienced increases in credit support sufficient to withstand stresses at their new rating level. 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 rating actions are the result of DBRS applying its updated U.S. RMBS Surveillance Methodology and RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology.

The transactions affected by the rating actions consist of U.S. ReREMIC transactions. The majority of the pools backing these transactions consist primarily of prime and Alt-A residential loans.

Notes:
The applicable methodologies are U.S. RMBS Surveillance Methodology and RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities 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

Banc of America Funding 2010-R9 Trust
Banc of America Funding 2011-R2 Trust
CSMC Series 2011-13R
CSMC Series 2011-5R
CSMC Series 2012-10R
CSMC Series 2012-2R
CSMC Series 2012-3R
CSMC Series 2012-4R
Canvas Securitization LLC
Citigroup Mortgage Loan Trust 2012-11
Citigroup Mortgage Loan Trust 2012-2
Citigroup Mortgage Loan Trust 2012-3
Citigroup Mortgage Loan Trust 2012-4
Citigroup Mortgage Loan Trust 2012-5
Citigroup Mortgage Loan Trust 2012-6
Citigroup Mortgage Loan Trust 2012-7
Citigroup Mortgage Loan Trust 2012-8
J.P. Morgan Resecuritization Trust, Series 2012-2
J.P. Morgan Resecuritization Trust, Series 2012-3
Morgan Stanley Re-REMIC Trust 2012-R1
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  • 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.