Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
April 21, 2017

DBRS, Inc. (DBRS) has today reviewed 316 classes from 44 U.S. residential mortgage-backed security (RMBS) transactions. Of the 316 classes reviewed, 142 ratings were confirmed, 143 ratings were upgraded and 31 ratings were discontinued due to repayment.

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. For transactions where the rating has been confirmed, current asset performance and credit support levels have been consistent with the current rating.

The rating actions are the result of DBRS applying its “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” (see the press release titled “DBRS Publishes RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” published on April 4, 2017).

The transactions consist of U.S. RMBS and Re-REMIC transactions. The pools backing these transactions consist of HELOC, Second Lien, Alt-A and Subprime 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.

-- CSMC Series 2014-7R, CSMC Series 2014-7R, 4-A-1
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 5-A-1
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-1
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-3
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-7
-- CSMC Series 2014-8R, CSMC Series 2014-8R, Class 2-A-1
-- CSMC Series 2014-9R, CSMC Series 2014-9R, Class 11-A-3
-- CSMC Series 2014-9R, CSMC Series 2014-9R, Class 11-A-5
-- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 1A
-- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 1A-2
-- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 2A
-- GSMSC Resecuritization Trust 2014-3R, Series 2014-3R Resecuritization Trust Securities, Class 2A-2
-- GSMSC Resecuritization Trust 2014-4R, Series 2014-4R Resecuritization Trust Securities, Class 2A
-- J.P. Morgan Resecuritization Trust, Series 2014-4, Series 2014-4 Trust Certificates, Class 1-A
-- Morgan Stanley Resecuritization Trust 2014-R6, Resecuritization Pass-Through Certificates, Series 2014-R6, Class A4
-- Morgan Stanley Resecuritization Trust 2014-R6, Resecuritization Pass-Through Certificates, Series 2014-R6, Class A
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A3
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A4
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A5
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A6
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A
-- Nomura Resecuritization Trust 2014-4R, Resecuritization Trust Securities, Class 1A1
-- Nomura Resecuritization Trust 2014-4R, Resecuritization Trust Securities, Class 3A1
-- Nomura Resecuritization Trust 2014-5R, Resecuritization Trust Securities, Class 3A2
-- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 1A1
-- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 2A1
-- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 2A3
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class I-X
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class II-X

Notes:
The principal methodologies are U.S. RMBS Surveillance Methodology and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on 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.

Ratings

ASG Resecuritization Trust 2010-2
BCAP LLC 2008-RR2 Trust
BCAP LLC 2012-RR1 Trust
BCAP LLC 2012-RR10-I Trust
BCAP LLC 2012-RR10-II Trust
BCAP LLC 2012-RR11 Trust
BCAP LLC 2012-RR12 Trust
BCAP LLC 2012-RR2 Trust
BCAP LLC 2012-RR3 Trust
BCAP LLC 2012-RR4 Trust
BCAP LLC 2012-RR5 Trust
BCAP LLC 2012-RR6 Trust
BCAP LLC 2012-RR7 Trust
BCAP LLC 2013-RR1 Trust
BCAP LLC 2013-RR2 Trust
BCAP LLC 2013-RR7 Trust
BCAP LLC 2013-RR8 Trust
BCAP LLC 2013-RR9 Trust
Banc of America Funding 2010-R11 Trust
CHL Mortgage Pass-Through Trust Resecuritization 2008-3R
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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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