DBRS Takes Rating Actions on U.S. RMBS Securities

DBRS, Inc. (DBRS) has today reviewed 105 classes from 17 U.S. residential mortgage-backed security (RMBS) transactions. Of the 105 classes reviewed, 53 ratings were upgraded, 43 ratings were confirmed 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 levels. The rating confirmations reflect current asset performance and that credit support levels have been consistent with the current rating. The discontinued ratings are the result of full principal payment to the bondholders.

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

The transactions consist of U.S. Resecuritization of Real Estate Mortgage Investment Conduit (Re-REMIC) transactions. The pools backing these transactions consist of Re-REMIC, Prime, Alt-A, Scratch and Dent, Option - Adjustable-Rate Mortgage (ARM) 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 a dependency on another tranche’s ratings, as well as structural features and historical performance that constrain the rating from the quantitative model’s output.

-- APS Resecuritization Trust 2015-3, REMIC Notes, Series 2015-3, Class 1-A
-- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 3A1
-- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 6A1
-- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 6A2
-- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 7A1
-- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 1-A-2
-- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 1-A-3
-- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 3-A-2
-- CSMC Series 2015-4R, CSMC Series 2015-4R, Class 3-A-4
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 3-A1
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 5-A2
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 1-A1
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 1-AZ
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 2-A1
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 2-AZ
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 4-A2
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 8-A2
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 12-A3
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 18-A3
-- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-1
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 1-A1
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 1-A2
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A1
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A2
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 2A1
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 3A2
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 4A1

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 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.