DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 231 classes from 28 U.S. residential mortgage-backed security (RMBS) transactions. Of the 231 classes reviewed, 86 ratings were upgraded, 135 ratings were confirmed and ten 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 levels. The rating confirmations reflect current asset performance and that credit support levels have been consistent with the current rating. The discontinued ratings are a result of 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 the press release “DBRS Publishes RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” dated November 28, 2016).

The transactions consist of U.S. Re-REMIC transactions. The pools backing these transactions consist of Re-REMIC, prime, option adjustable rate mortgage (ARM), scratch-and-dent, Alt-A, non-performing and subprime collateral.

The ratings assigned to the following securities differ from the ratings 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’s output.

-- Banc of America Funding 2015-R3 Trust, Resecuritization Trust Securities, Class 8A1
-- Banc of America Funding 2015-R3 Trust, Resecuritization Trust Securities, Class 10A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities, Class 1A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities, Class 2A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities, Class 4A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities, Class 5A1
-- Canvas Securitization LLC, Canvas Securitization LLC, Series RR14, Class A-2
-- Nomura Resecuritization Trust 2015-4R, Resecuritization Trust Securities, Series 2015-4R, Class 1A2
-- Nomura Resecuritization Trust 2015-4R, Resecuritization Trust Securities, Series 2015-4R, Class 2A1
-- Nomura Resecuritization Trust 2015-4R, Resecuritization Trust Securities, Series 2015-4R, Class 3A2
-- Citigroup Mortgage Loan Trust 2012-3, Resecuritization Trust Certificates, Series 2012-3, Class 4A1
-- Citigroup Mortgage Loan Trust 2012-8, Resecuritization Trust Securities, Series 2012-8, Class 2A1
-- Citigroup Mortgage Loan Trust 2013-8, Resecuritization Trust Securities, Series 2013-8, Class 2A1
-- Citigroup Mortgage Loan Trust 2015-3, Resecuritization Trust Securities, Series 2015-3, Class 1A1
-- Citigroup Mortgage Loan Trust 2015-3, Resecuritization Trust Securities, Series 2015-3, Class 2A1
-- CSMC Series 2015-3R, CSMC Series 2015-3R, Class 1-A-1
-- CSMC Series 2015-3R, CSMC Series 2015-3R, Class 4-A-1
-- CSMC Series 2015-3R, CSMC Series 2015-3R, Class 5-A-1

Notes:
The principal 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 www.dbrs.com under Methodologies.

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