Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
January 18, 2017

DBRS, Inc. (DBRS) has today reviewed 147 classes from 29 U.S. residential mortgage-backed security (RMBS) transactions. Of the 147 classes reviewed, 54 ratings were confirmed, 84 ratings were upgraded and nine ratings were discontinued.

The rating upgrades reflect positive performance trends and that these classes have experienced increases in credit support sufficient to withstand stresses at their new rating level. The rating confirmations reflect current asset performance and that credit support levels have been consistent with the current rating. The discontinued ratings are due to full principal payment to the bondholders.

The rating actions are the result of DBRS applying its updated “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (see “DBRS Publishes RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model And Rating Methodology,” published on November 28, 2016).

The transactions consist of U.S. resecuritization of real estate mortgage investment conduit transactions. The pools backing these transactions consist of Alt-A and Prime Jumbo collateral.

The ratings assigned to the following securities differ from the rating(s) implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect the structural features and historical performance that constrain the quantitative model output.

-- APS Resecuritization Trust 2015-1, REMIC Certificates, Series 2015-1, Class 2-A
-- Banc of America Funding 2014-R1 Trust, Resecuritization Trust Securities, Series 2014-R1, Class A-3
-- Banc of America Funding 2014-R1 Trust, Resecuritization Trust Securities, Series 2014-R1, Class A-4
-- Banc of America Funding 2014-R1 Trust, Resecuritization Trust Securities, Series 2014-R1, Class A-1
-- Banc of America Funding 2015-R2 Trust, Resecuritization Trust Securities, Class 3A1
-- Banc of America Funding 2015-R2 Trust, Resecuritization Trust Securities, Class 4A1
-- Banc of America Funding 2015-R2 Trust, Resecuritization Trust Securities, Class 7A1
-- Banc of America Funding 2015-R2 Trust, Resecuritization Trust Securities, Class 9A1
-- Banc of America Funding 2015-R2 Trust, Resecuritization Trust Securities, Class 10A1
-- BCAP LLC 2015-RR2 Trust, Resecuritization Trust Securities, Class 22A1
-- BCAP LLC 2015-RR2 Trust, Resecuritization Trust Securities, Class 23A1
-- BCAP LLC 2015-RR2 Trust, Resecuritization Trust Securities, Class 25A1
-- BCAP LLC 2015-RR2 Trust, Resecuritization Trust Securities, Class 26A1
-- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 3A1
-- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 4A1
-- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 5A1
-- CSMC Series 2014-4R, CSMC Series 2014-4R, 16-A-1
-- CSMC Series 2014-4R, CSMC Series 2014-4R, 21-A-1
-- CSMC Series 2015-1R, CSMC Series 2015-1R, Class 2-A-1
-- CSMC Series 2015-2R, CSMC Series 2015-2R, Class 3-A-1
-- CSMC Series 2015-2R, CSMC Series 2015-2R, Class 4-A-1
-- CSMC Series 2015-2R, CSMC Series 2015-2R, Class 7-A-1
-- CSMC Series 2015-2R, CSMC Series 2015-2R, Class 7-A-4
-- CSMC Series 2016-2R, CSMC Series 2016-2R, Class 1-A-1
-- GSMSC Resecuritization Trust 2015-1R, Series 2015-1R Resecuritization Trust Securities, Class 2A
-- J.P. Morgan Resecuritization Trust, Series 2014-1, Series 2014-1 Trust Certificates, Class 9-A-4
-- J.P. Morgan Resecuritization Trust, Series 2014-1, Series 2014-1 Trust Certificates, Class 9-A-7
-- J.P. Morgan Resecuritization Trust, Series 2014-1, Series 2014-1 Trust Certificates, Class 10-A-6
-- J.P. Morgan Resecuritization Trust, Series 2014-1, Series 2014-1 Trust Certificates, Class 10-A-9
-- J.P. Morgan Resecuritization Trust, Series 2014-1, Series 2014-1 Trust Certificates, Class 10-A-16
-- J.P. Morgan Resecuritization Trust, Series 2014-2, Series 2014-2 Trust Certificates, Class 4-A-4
-- J.P. Morgan Resecuritization Trust, Series 2014-2, Series 2014-2 Trust Certificates, Class 4-A-7
-- J.P. Morgan Resecuritization Trust, Series 2014-2, Series 2014-2 Trust Certificates, Class 6-A-2
-- J.P. Morgan Resecuritization Trust, Series 2014-2, Series 2014-2 Trust Certificates, Class 6-A-3
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 2-A
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 3-A-1
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 3-A-2
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 5-A-1
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 5-A-2
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 5-A-3
-- Morgan Stanley Resecuritization Trust 2014-R1, Resecuritization Trust Securities, Class A3
-- Morgan Stanley Resecuritization Trust 2014-R1, Resecuritization Trust Securities, Class A
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 1-A3
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 1-A4
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 1-A
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 1-AM
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 2-A3
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 2-A4
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 2-A
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 2-MA
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 2-A3
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 2-A4
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 3-A4
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 4-A4
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 2-A
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 3-A
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 4-A
-- Morgan Stanley Resecuritization Trust 2014-R3, Resecuritization Pass-Through Certificates, Series 2014-R3, Class 4-AM
-- Morgan Stanley Resecuritization Trust 2015-R1, Resecuritization Pass-Through Certificates, Series 2015-R1, Class 2-A
-- Nomura Resecuritization Trust 2014-2R, Resecuritization Trust Securities, Class 2A3
-- Nomura Resecuritization Trust 2014-2R, Resecuritization Trust Securities, Class 4A2
-- Nomura Resecuritization Trust 2014-2R, Resecuritization Trust Securities, Class 2A8
-- Nomura Resecuritization Trust 2015-1R, Resecuritization Trust Securities, Series 2015-1R, Class 2A2

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

Ratings

APS Resecuritization Trust 2015-1
BCAP LLC 2014-RR1 Trust
BCAP LLC 2014-RR2 Trust
BCAP LLC 2015-RR2 Trust
Banc of America Funding 2014-R1 Trust
Banc of America Funding 2015-R2 Trust
CSMC Series 2014-12R
CSMC Series 2014-2R
CSMC Series 2014-3R
CSMC Series 2014-4R
CSMC Series 2014-5R
CSMC Series 2015-1R
CSMC Series 2015-2R
CSMC Series 2016-2R
Citigroup Mortgage Loan Trust 2014-2
Citigroup Mortgage Loan Trust 2014-5
Citigroup Mortgage Loan Trust 2015-2
GSMSC Resecuritization Trust 2015-1R
J.P. Morgan Resecuritization Trust, Series 2014-1
J.P. Morgan Resecuritization Trust, Series 2014-2
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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

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