DBRS Takes Rating Actions on 53 U.S. RMBS Transactions

DBRS, Inc. (DBRS) reviewed 350 classes from 53 U.S. resecuritization of real estate mortgage investment conduits (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 350 classes reviewed, DBRS upgraded 107 ratings, confirmed 228 ratings and discontinued 15 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 a 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. ReREMIC and RMBS transactions. The pools backing these transactions consist of prime, agency, seasoned re-performing, subprime, second-lien, Alt-A, home equity line of credit, option adjustable-rate mortgage and ReREMIC collateral.

The ratings assigned to the securities below 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/or historical performance that constrain the quantitative model output.

-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class I-A3B
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class A3
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class I-X
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class II-X
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 4-A-1
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 5-A-1
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-1
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-3
-- CSMC Series 2014-7R, CSMC Series 2014-7R, 8-A-7
-- CSMC Series 2014-8R, CSMC Series 2014-8R, Class 2-A-1
-- CSMC Series 2014-9R, CSMC Series 2014-9R, Class 11-A-3
-- CSMC Series 2014-9R, CSMC Series 2014-9R, Class 11-A-5
-- GSMSC Resecuritization Trust 2014-3R , Series 2014-3R Resecuritization Trust Securities, Class 2A
-- GSMSC Resecuritization Trust 2014-3R , Series 2014-3R Resecuritization Trust Securities, Class 2A-2
-- APS Resecuritization Trust 2015-3, REMIC Notes, Series 2015-3, Class 1-A
-- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 3A1
-- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 6A2
-- Banc of America Funding 2015-R4 Trust, Resecuritization Trust Securities, Class 7A1
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 5-A2
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 4-A2
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 8-A2
-- Jefferies Resecuritization Trust 2009-R8, Jefferies Resecuritization Trust 2009-R8, Class 10-A3
-- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-2
-- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-5
-- Morgan Stanley Resecuritization Trust 2014-R6, Resecuritization Pass-Through Certificates, Series 2014-R6, Class A4
-- Morgan Stanley Resecuritization Trust 2014-R6, Resecuritization Pass-Through Certificates, Series 2014-R6, Class A
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A3
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A4
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A5
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A6
-- Morgan Stanley Resecuritization Trust 2014-R7, Resecuritization Pass-Through Certificates, Series 2014-R7, Class A
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 1-A2
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A1
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A2
-- Nomura Resecuritization Trust 2014-4R, Resecuritization Trust Securities, Class 3A1
-- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 2A1
-- Nomura Resecuritization Trust 2014-6R, Resecuritization Trust Securities, Series 2014-6R, Class 2A3
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 2A1
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 3A2
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 4A1
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2B
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-2C
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IO
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IOB
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B2-IOC
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3B
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-3C
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOB
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B3-IOC
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-4A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B-5A
-- New Residential Mortgage Loan Trust 2017-2, Mortgage-Backed Notes, Series 2017-2, Class B5-IOA

Notes:
All figures are in U.S. dollars unless otherwise noted.

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 not participate in the rating process for this rating action. DBRS did not have access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

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