Press Release

DBRS Takes Rating Actions on 28 U.S. RMBS Transactions

RMBS
September 08, 2017

DBRS, Inc. (DBRS) reviewed 137 classes from 28 U.S. residential mortgage-backed securities transactions. Of the 137 classes reviewed, DBRS confirmed 23 ratings, upgraded 112 ratings and discontinued two ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. For transactions where the ratings have been confirmed, current asset performance and credit support levels are consistent with the current ratings. The discontinued ratings are the result of full repayment of principal to bondholders.

The rating actions are the result of DBRS’s application of “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. Re-REMIC transactions. The pools backing these transactions consist of Alt-A 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 output.

-- 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, 21-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
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 3-A-2
-- 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-A4
-- Morgan Stanley Resecuritization Trust 2014-R2, Resecuritization Trust Securities, Class 2-A
-- 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 2-A

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.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

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 2014-2R
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
J.P. Morgan Resecuritization Trust, Series 2014-3
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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

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.