Press Release

DBRS Takes Rating Actions on 27 U.S. RMBS Transactions

RMBS
August 01, 2018

DBRS, Inc. (DBRS) reviewed 133 classes from 27 U.S. resecuritization of real estate mortgage investment conduits (ReREMICs) and residential mortgage-backed security (RMBS) transactions. Of the 133 classes reviewed, DBRS upgraded 62 ratings, confirmed 64 ratings and discontinued seven 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 the “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, subprime, seasoned reperforming, 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 structural features and/or historical performance that constrain the quantitative model output.

-- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 4A1
-- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 5A1
-- CSMC Series 2014-4R, CSMC Series 2014-4R, 21-A-1
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 3-A-2
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class A3
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class A4
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class M2
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class M3
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class B1
-- Mill City Mortgage Loan Trust 2017-3, Mortgage Backed Securities, Series 2017-3, Class B2

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

APS Resecuritization Trust 2015-1
BCAP LLC 2014-RR2 Trust
BCAP LLC 2015-RR2 Trust
Banc of America Funding 2014-R1 Trust
Banc of America Funding 2015-R2 Trust
CSMC Series 2014-2R
CSMC Series 2014-3R
CSMC Series 2014-4R
CSMC Series 2014-5R
CSMC Series 2015-1R
CSMC Series 2015-2R
Citigroup Mortgage Loan Trust 2014-2
Citigroup Mortgage Loan Trust 2014-5
Citigroup Mortgage Loan Trust 2015-2
GSMSC Resecuritization Trust 2015-1R
J.P. Morgan Resecuritization Trust, Series 2014-1
J.P. Morgan Resecuritization Trust, Series 2014-2
J.P. Morgan Resecuritization Trust, Series 2014-3
J.P. Morgan Resecuritization Trust, Series 2015-1
Mill City Mortgage Loan Trust 2017-3
Show More Issuers
  • 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