Press Release

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

RMBS
October 11, 2017

DBRS, Inc. (DBRS) reviewed 49 classes from seven U.S. residential mortgage-backed securities (RMBS) transactions. Of the 49 classes reviewed, DBRS confirmed 35 ratings, upgraded eight ratings and downgraded six 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 rating downgrades reflect the transactions’ continued erosion of credit support as well as negative trends in delinquency and projected loss activity.

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. RMBS and Re-REMIC transactions. The pools backing these transactions consist of prime 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.

-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Securities, Series 2004-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B, Real Estate Synthetic Investment Notes, Series 2004-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Securities, Series 2003-A, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A, Real Estate Synthetic Investment Notes, Series 2003-A, Class B2 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Securities, Series 2003-B, Class A5 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B1 Risk Band
-- RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B, Real Estate Synthetic Investment Notes, Series 2003-B, Class B2 Risk Band
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class I-A-1
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class I-A-2
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class II-A-1
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-1
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-3
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-4
-- CSMC Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class A-IO-S

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

CSMC Trust 2015-1
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:AA (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:AA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Citigroup Mortgage Loan Trust 2009-4
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:AA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:B (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:B (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Downgraded
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Meritage Mortgage Loan Trust 2005-2
  • Date Issued:Oct 11, 2017
  • Rating Action:Upgraded
  • Ratings:AAA (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
RESI Finance Limited Partnership 2003-A & RESI Finance DE Corporation 2003-A
  • Date Issued:Oct 11, 2017
  • Rating Action:Downgraded
  • Ratings:A (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:A (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B
  • Date Issued:Oct 11, 2017
  • Rating Action:Downgraded
  • Ratings:BBB (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BBB (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Downgraded
  • Ratings:B (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
Wells Fargo Mortgage Backed Securities 2004-Y Trust
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BBB (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BB (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BB (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:BB (high) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Downgraded
  • Ratings:BB (low) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Downgraded
  • Ratings:BB (low) (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • Date Issued:Oct 11, 2017
  • Rating Action:Confirmed
  • Ratings:C (sf)
  • Trend:--
  • Rating Recovery:
  • Issued:US
  • 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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