Press Release

DBRS Takes Rating Actions on 42 U.S. RMBS Transactions

RMBS
May 10, 2018

DBRS, Inc. (DBRS) reviewed 269 classes from 42 U.S. resecuritization of real estate mortgage investment conduits (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 269 classes reviewed, DBRS upgraded 73 ratings, confirmed 183 ratings and discontinued 13 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, subprime, second-lien, Alt-A, scratch and dent, 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.

-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 3A2
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A7
-- Citigroup Mortgage Loan Trust 2009-8, Resecuritization Trust Certificates, Series 2009-8, Class 6A2
-- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 2A2C
-- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1
-- GSMSC Resecuritization Trust 2015-3R, Resecuritization Trust Securities, Series 2015-3R, Class 2A-1D
-- J.P. Morgan Mortgage Trust, Series 2008-R4, Series 2008-R4 Trust Certificates, Class 2-A-1
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-3
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-4
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A3
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A
-- RBSSP Resecuritization Trust 2009-5, Resecuritization Trust Certificates, Series 2009-5, Class 4-A2
-- RBSSP Resecuritization Trust 2009-5, Resecuritization Trust Certificates, Series 2009-5, Class 4-A4
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 7-A2
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 7-A4
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 9-A2
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 9-A4
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 11-A2
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 11-A4
-- BCAP LLC 2015-RR6 Trust, Resecuritization Trust Securities, Class 1A1
-- BCAP LLC 2015-RR6 Trust, Resecuritization Trust Securities, Class 1A2
-- CSMC Series 2015-5R, CSMC Series 2015-5R, Class 1-A-1
-- CSMC Series 2015-5R, CSMC Series 2015-5R, Class 2-A-4
-- CSMC Series 2015-5R, CSMC Series 2015-5R, Class 2-A-1
-- CSMC Series 2015-6R, CSMC Series 2015-6R, Class 1-A-1
-- CSMC Series 2015-6R, CSMC Series 2015-6R, Class 2-A-1
-- CSMC Series 2015-6R, CSMC Series 2015-6R, Class 4-A-1
-- GSMSC Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 1B
-- GSMSC Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 2A
-- GSMSC Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 2B
-- Morgan Stanley Resecuritization Trust 2015-R3, Resecuritization Pass-Through Securities, Series 2015-R3, Class 7-A1
-- Morgan Stanley Resecuritization Trust 2015-R3, Resecuritization Pass-Through Securities, Series 2015-R3, Class 7-A2
-- Morgan Stanley Resecuritization Trust 2015-R3, Resecuritization Pass-Through Securities, Series 2015-R3, Class 9-A2
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-1
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-2
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class M-3
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-1
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-2
-- C-BASS 2005-CB1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB1, Class B-3
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-1
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-2
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class B-1
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1A-I1
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1A-I2
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1A-I3
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1A-I4
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1B-I1
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1B-I2
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1B-I3
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1B-I4
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1C-I1
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1C-I2
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1C-I3
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1C-I4
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1X1
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1X2
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1X3
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1X4
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1Y1
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1Y2
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1Y3
-- Fannie Mae, Connecticut Avenue Securities, Series 2017-C03, Class 1Y4

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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

Ratings

ASG Resecuritization Trust 2009-1
ASG Resecuritization Trust 2009-2
BCAP LLC 2014-RR5 Trust
BCAP LLC 2015-RR6 Trust
Banc of America Funding 2015-R5 Trust
C-BASS 2005-CB1 Trust
C-BASS 2006-MH1 Trust
C-BASS 2007-SL1 Trust
CSMC Series 2007-3R
CSMC Series 2013-8R
CSMC Series 2015-5R
CSMC Series 2015-6R
Citigroup Mortgage Loan Trust 2009-10
Citigroup Mortgage Loan Trust 2009-11
Citigroup Mortgage Loan Trust 2009-12
Citigroup Mortgage Loan Trust 2009-2
Citigroup Mortgage Loan Trust 2009-4
Citigroup Mortgage Loan Trust 2009-5
Citigroup Mortgage Loan Trust 2009-6
Citigroup Mortgage Loan Trust 2009-7
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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

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