DBRS Takes Rating Actions on U.S. RMBS Securities
RMBSDBRS, Inc. (DBRS) reviewed 1,118 classes from 44 U.S. residential mortgage-backed security (RMBS) transactions. Of the 1,118 classes reviewed, 13 ratings were upgraded and 1105 ratings were confirmed.
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 actions are a result of DBRS’s application of its “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 transactions. The pools backing these transactions consist of prime 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 a counterparty’s ratings as well as structural features and historical performance that constrain the quantitative model output.
-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- Agate Bay Mortgage Trust 2015-2, Mortgage Pass-Through Certificates, Series 2015-2, Class B-2
-- Agate Bay Mortgage Trust 2015-2, Mortgage Pass-Through Certificates, Series 2015-2, Class B-3
-- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-2
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-3
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4
-- Agate Bay Mortgage Trust 2015-5, Mortgage Pass-Through Certificates, Series 2015-5, Class B-2
-- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through Certificates, Series 2013-J1, Class B-3
-- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through Certificates, Series 2013-J1, Class B-4
-- CSMC Trust 2012-CIM2 Mortgage Pass-Through Certificates, Series 2012-CIM2, Mortgage Pass-through Certificates, Series 2012-CIM2, Class B-4
-- CSMC Trust 2013-6, Mortgage Pass-through Certificates, Series 2013-6, Class IO-S-1
-- CSMC Trust 2013-6, Mortgage Pass-Through Certificates, Series 2013-6, Class B-3
-- CSMC Trust 2013-6, Mortgage Pass-Through Certificates, Series 2013-6, Class B-4
-- CSMC Trust 2013-6, Mortgage Pass-through Certificates, Series 2013-6, Class IO-S-2
-- CSMC Trust 2013-6, Mortgage Pass-through Certificates, Series 2013-6, Class A-IO-S
-- CSMC Trust 2013-HYB1, Mortgage Pass-through Certificates, Series 2013-HYB1, Class B-3
-- CSMC Trust 2013-HYB1, Mortgage Pass-through Certificates, Series 2013-HYB1, Class B-4
-- CSMC Trust 2013-HYB1, Mortgage Pass-through Certificates, Series 2013-HYB1, Class A-IO-S
-- CSMC Trust 2013-IVR1 Mortgage Pass-Through Certificates, Series 2013-IVR1, Class B-3
-- CSMC Trust 2013-IVR1 Mortgage Pass-Through Certificates, Series 2013-IVR1, Class B-4
-- CSMC Trust 2013-IVR2, Mortgage Pass-through Certificates, Series 2013-IVR2, Class B-3
-- CSMC Trust 2013-IVR2, Mortgage Pass-through Certificates, Series 2013-IVR2, Class B-4
-- CSMC Trust 2013-IVR2, Mortgage Pass-through Certificates, Series 2013-IVR2, Class A-IO-S
-- CSMC Trust 2013-IVR3, Mortgage Pass-through Certificates, Series 2013-IVR3, Class B-3
-- CSMC Trust 2013-IVR3, Mortgage Pass-through Certificates, Series 2013-IVR3, Class B-4
-- CSMC Trust 2013-IVR3, Mortgage Pass-through Certificates, Series 2013-IVR3, Class A-IO-S
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates, Series 2013-IVR4, Class A-IO-S
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates, Series 2013-IVR4, Class B-3
-- CSMC Trust 2013-IVR4, Mortgage Pass-through Certificates, Series 2013-IVR4, Class B-4
-- CSMC Trust 2013-IVR5, Mortgage Pass-Through Certificates, Series 2013-IVR5, Class B-3
-- CSMC Trust 2013-IVR5, Mortgage Pass-Through Certificates, Series 2013-IVR5, Class B-4
-- CSMC Trust 2013-IVR5, Mortgage Pass-through Certificates, Series 2013-IVR5, Class A-IO-S
-- CSMC Trust 2014-IVR1, Mortgage Pass-Through Certificates, Series 2014-IVR1, Class B-3
-- CSMC Trust 2014-IVR1, Mortgage Pass-Through Certificates, Series 2014-IVR1, Class B-4
-- CSMC Trust 2014-IVR1, Mortgage Pass-through Certificates, Series 2014-IVR1, Class A-IO-S
-- CSMC Trust 2014-IVR2, Mortgage Pass-through Certificates, Series 2014-IVR2, Class A-IO-S
-- CSMC Trust 2014-IVR2, Mortgage Pass-Through Certificates, Series 2014-IVR2, Class B-3
-- CSMC Trust 2014-IVR2, Mortgage Pass-Through Certificates, Series 2014-IVR2, Class B-4
-- CSMC Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-3
-- CSMC Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-4
-- CSMC Trust 2014-IVR3, Mortgage Pass-through Certificates, Series 2014-IVR3, Class A-IO-S
-- CSMC Trust 2014-OAK1, Mortgage Pass-Through Certificates, Series 2014-OAK1, Class B-3
-- CSMC Trust 2014-SAF1, Mortgage Pass-Through Certificates, Series 2014-SAF1, Class B-3
-- CSMC Trust 2014-SAF1, Mortgage Pass-Through Certificates, Series 2014-SAF1, Class B-4
-- CSMC Trust 2014-SAF1, Mortgage Pass-through Certificates, Series 2014-SAF1, Class A-IO-S
-- CSMC Trust 2015-2, Mortgage Pass-Through Certificates, Series 2015-2, Class B-3
-- CSMC Trust 2015-2, Mortgage Pass-Through Certificates, Series 2015-2, Class B-4
-- CSMC Trust 2015-2, Mortgage Pass-through Certificates, Series 2015-2, Class A-IO-S
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates, Series 2015-1, Class B-2
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- CSMLT 2015-1 Trust, Mortgage Pass-through Certificates, Series 2015-1, Class A-IO-S
-- CSMLT 2015-2 Trust, Mortgage Pass-Through Certificates, Series 2015-2, Class A-IO-S
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class IO-S-1
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class IO-S-2
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class IO-S-3
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class A-IO-S
-- J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through Certificates, Series 2013-3, Class B-3
-- J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through Certificates, Series 2013-3, Class B-4
-- J.P. Morgan Mortgage Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-3
-- J.P. Morgan Mortgage Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-4
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-3
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4
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.
The rated entity or its related entities did participate initially in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its rated entities.
For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.
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