Press Release

DBRS Takes Rating Actions on 19 U.S. RMBS Transactions

RMBS
November 15, 2017

DBRS, Inc. (DBRS) reviewed 159 classes from 19 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 159 classes reviewed, DBRS confirmed 116 ratings, upgraded 39 ratings and discontinued four 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. RMBS transactions. The pools backing these transactions consist of prime and agency credit 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.

-- COLT 2016-1 Mortgage Loan Trust, COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-1
-- COLT 2016-1 Mortgage Loan Trust, COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-1X
-- COLT 2016-1 Mortgage Loan Trust, COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-2
-- COLT 2016-1 Mortgage Loan Trust, COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-2X
-- COLT 2016-1 Mortgage Loan Trust, COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class M-1
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-1
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-1X
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-2
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-2X
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-4
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class M-1
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class M-1E
-- COLT 2016-2 Mortgage Loan Trust, COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class M-1X
-- COLT 2016-3 Mortgage Loan Trust, COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class A-3
-- COLT 2016-3 Mortgage Loan Trust, COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class M-1
-- COLT 2016-3 Mortgage Loan Trust, COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class B-1
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes, Series 2014-A, Class B-2
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes, Series 2014-A, Class B-3
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes, Series 2014-A, Class B-4
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-3
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-4
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-5
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-3A
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B3-IOA
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-3B
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B3-IOB
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-3C
-- New Residential Mortgage Loan Trust 2016-3, Mortgage-Backed Notes, Series 2016-3, Class B-IOC
-- New Residential Mortgage Loan Trust 2016-4, Mortgage-Backed Notes, Series 2016-4, Class B-4
-- New Residential Mortgage Loan Trust 2016-4, Mortgage-Backed Notes, Series 2016-4, Class B-5
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M-12
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M-2
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M-2F
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M-2I
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M-3A
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M-3AF
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2016-DNA3, Class M-3AI
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M-3A
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M-3AF
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M-3AI
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class M-3
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class M-3F
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class M-3I
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class MA

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.

Ratings

  • Banc of America Funding 2011-SD1 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17Mortgage Pass-Through Certificates, Series 2011-SD1, Class M3AAA (sf)--Upgraded
    US
    More
    Less

  • COLT 2016-1 Mortgage Loan Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-1A (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-1XA (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-2BBB (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class A-2XBBB (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-1 Mortgage Pass-Through Certificates, Series 2016-1, Class M-1BB (sf)--Confirmed
    US
    More
    Less

  • COLT 2016-2 Mortgage Loan Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-1A (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-1XA (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-3A (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-2BBB (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-2XBBB (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class A-4BBB (high) (sf)--Upgraded
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class M-1BB (sf)--Confirmed
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class M-1EBB (sf)--Confirmed
    US
    15-Nov-17COLT 2016-2 Mortgage Pass-Through Certificates, Series 2016-2, Class M-1XBB (sf)--Confirmed
    US
    More
    Less

  • COLT 2016-3 Mortgage Loan Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class A-1AAA (sf)--Confirmed
    US
    15-Nov-17COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class A-2AA (sf)--Confirmed
    US
    15-Nov-17COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class A-3A (sf)--Confirmed
    US
    15-Nov-17COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class M-1BBB (sf)--Confirmed
    US
    15-Nov-17COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class B-1BB (sf)--Confirmed
    US
    15-Nov-17COLT 2016-3 Mortgage Pass-Through Certificates, Series 2016-3, Class B-2B (sf)--Confirmed
    US
    More
    Less

  • CSMC Trust 2012-9 Mortgage Pass-Through Certificates, Series 2012-9

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17Series 2012-9, Class A-1AAA (sf)--Confirmed
    US
    15-Nov-17Series 2012-9, Class A-1-AAAA (sf)--Confirmed
    US
    15-Nov-17Series 2012-9, Class A-IOAAA (sf)--Confirmed
    US
    15-Nov-17Series 2012-9, Class B-1AA (high) (sf)--Upgraded
    US
    More
    Less

  • Citigroup Mortgage Loan Trust 2009-C

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17Mortgage Pass-Through Certificates, Series 2009-C, Class A2AAA (sf)--Confirmed
    US
    15-Nov-17Mortgage Pass-Through Certificates, Series 2009-C, Class A4AAA (sf)--Confirmed
    US
    15-Nov-17Mortgage Pass-Through Certificates, Series 2009-C, Class AX3AAA (sf)--Confirmed
    US
    15-Nov-17Mortgage Pass-Through Certificates, Series 2009-C, Class AX4AAA (sf)--Confirmed
    US
    15-Nov-17Mortgage Pass-Through Certificates, Series 2009-C, Class A3AA (high) (sf)--Confirmed
    US
    15-Nov-17Mortgage Pass-Through Certificates, Series 2009-C, Class A6AA (high) (sf)--Confirmed
    US
    More
    Less

  • Citigroup Mortgage Loan Trust 2014-A

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17Mortgage Backed-Notes, Series 2014-A, Class AAAA (sf)--Confirmed
    US
    15-Nov-17Mortgage Backed-Notes, Series 2014-A, Class IOAAA (sf)--Confirmed
    US
    15-Nov-17Mortgage Backed-Notes, Series 2014-A, Class B-1AA (sf)--Confirmed
    US
    15-Nov-17Mortgage Backed-Notes, Series 2014-A, Class B-2A (high) (sf)--Upgraded
    US
    15-Nov-17Mortgage Backed-Notes, Series 2014-A, Class B-3A (sf)--Upgraded
    US
    15-Nov-17Mortgage Backed-Notes, Series 2014-A, Class B-4BBB (sf)--Upgraded
    US
    More
    Less

  • Citigroup Mortgage Loan Trust 2015-PS1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17Mortgage-Backed Notes, Series 2015-PS1, Class AAA (high) (sf)--Confirmed
    US
    15-Nov-17Mortgage-Backed Notes, Series 2015-PS1, Class A-1AA (high) (sf)--Confirmed
    US
    15-Nov-17Mortgage-Backed Notes, Series 2015-PS1, Class A-1-IOAA (high) (sf)--Confirmed
    US
    More
    Less

  • Fannie Mae

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17Connecticut Avenue Securities, Series 2014-C03, Class 1M-1AAA (sf)--Upgraded
    US
    15-Nov-17Connecticut Avenue Securities, Series 2014-C03, Class 2M-1Discontinued--Disc.-Repaid
    US
    15-Nov-17Connecticut Avenue Securities, Series 2014-C04, Class 1M-1Discontinued--Disc.-Repaid
    US
    15-Nov-17Connecticut Avenue Securities, Series 2015-C04, Class 1M-1Discontinued--Disc.-Repaid
    US
    15-Nov-17Connecticut Avenue Securities, Series 2015-C04, Class 2M-1Discontinued--Disc.-Repaid
    US
    More
    Less

  • Freddie Mac

  • J.P. Morgan Seasoned Mortgage Trust, Series 2010-1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    15-Nov-17Mortgage Securities, Series 2010-1, Class AAAA (sf)--Confirmed
    US
    More
    Less

  • New Residential Mortgage Loan Trust 2016-3

  • New Residential Mortgage Loan Trust 2016-4

Banc of America Funding 2011-SD1 Trust
COLT 2016-1 Mortgage Loan Trust
COLT 2016-2 Mortgage Loan Trust
COLT 2016-3 Mortgage Loan Trust
CSMC Trust 2012-9 Mortgage Pass-Through Certificates, Series 2012-9
Citigroup Mortgage Loan Trust 2009-C
Citigroup Mortgage Loan Trust 2014-A
Citigroup Mortgage Loan Trust 2015-PS1
Fannie Mae
Freddie Mac
J.P. Morgan Seasoned Mortgage Trust, Series 2010-1
New Residential Mortgage Loan Trust 2016-3
New Residential Mortgage Loan Trust 2016-4
  • 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.

Related Documents

Methodology Used:

Issuers

Show All

Contacts

Further Inquiries

To speak to members of our Business Development or Media Relations teams, please click here for more information.

More from Morningstar DBRS