Press Release

DBRS Takes Rating Actions on U.S. RMBS Securities

RMBS
May 12, 2017

DBRS, Inc. (DBRS) has today reviewed 333 classes from 47 U.S. residential mortgage-backed security (RMBS) transactions. Of the 333 classes reviewed, 80 ratings were upgraded, 227 ratings were confirmed, one rating was downgraded and 25 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 rating downgrade reflects the transaction’s continued erosion of credit support as well as negative trends in delinquency and projected loss activity. 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. RMBS and Resecuritization of Real Estate Mortgage Investment Conduit (Re-REMIC) transactions. The pools backing these transactions consist of Prime, Alt-A, Scratch and Dent, Option - Adjustable-Rate Mortgage (ARM), Second Lien 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.

-- ASG Resecuritization Trust 2009-1, REMIC Notes, Series 2009-1, Class G75
-- ASG Resecuritization Trust 2009-1, REMIC Notes, Series 2009-1, Class A75
-- Banc of America Funding 2015-R5 Trust, Resecuritization Trust Securities, Class 1A1
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 2A2
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 3A2
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A6
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A7
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 9A2
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 13A3
-- Citigroup Mortgage Loan Trust 2009-8, Resecuritization Trust Certificates, Series 2009-8, Class 6A2
-- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 2A2C
-- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 3A2
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 1-A4
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 6-A3
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 8-A5
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 9-A4
-- Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-6R, CSMC Series 2009-6R, Class 12-A5
-- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 1A-1
-- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1
-- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 1A-1D
-- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1C
-- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1D
-- J.P. Morgan Mortgage Trust, Series 2008-R4, Series 2008-R4 Trust Certificates, Class 2-A-1
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-2
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-3
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-4
-- Morgan Stanley Resecuritization Trust 2013-R6, Resecuritization Trust Securities, Class 5-A3
-- Morgan Stanley Resecuritization Trust 2013-R6, Resecuritization Trust Securities, Class 5-A
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 3-A3
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A3
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 3-A
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A
-- RBSSP Resecuritization Trust 2009-5, Resecuritization Trust Certificates, Series 2009-5, Class 4-A2
-- RBSSP Resecuritization Trust 2009-5, Resecuritization Trust Certificates, Series 2009-5, Class 4-A4
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 7-A2
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 7-A4
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-1
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M2
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M3
-- Soundview Home Loan Trust 2007-2, Asset-Backed Certificates, Series 2007-2, Class A-IO
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class A-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class A-3
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-2
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class A-1
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class A-3
-- Terwin Mortgage Trust 2004-13ALT, Asset-Backed Certificates, Series 2004-13ALT, Class 2-P-X
-- Terwin Mortgage Trust 2004-15ALT, Asset-Backed Certificates, Series 2004-15ALT, Class A-X
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-1
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-2
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-3
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-1
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-2
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-1
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-2
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class B-1

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.

Ratings

ASG Resecuritization Trust 2009-1
ASG Resecuritization Trust 2009-2
Banc of America Funding 2009-R6 Trust
Banc of America Funding 2015-R5 Trust
C-BASS 2004-CB7 Trust
C-BASS 2005-CB1 Trust
C-BASS 2006-MH1 Trust
C-BASS 2007-SL1 Trust
CSMC Series 2007-3R
CSMC Series 2009-14R
CSMC Series 2009-3R
CSMC Series 2009-8R
CSMC Series 2013-8R
Citigroup Mortgage Loan Trust 2009-10
Citigroup Mortgage Loan Trust 2009-11
Citigroup Mortgage Loan Trust 2009-12
Citigroup Mortgage Loan Trust 2009-2
Citigroup Mortgage Loan Trust 2009-4
Citigroup Mortgage Loan Trust 2009-5
Citigroup Mortgage Loan Trust 2009-6
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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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