DBRS Takes Rating Actions on 53 U.S. RMBS Transactions
RMBSDBRS, Inc. (DBRS) reviewed 482 classes from 53 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 482 classes reviewed, DBRS upgraded 76 ratings, confirmed 388 ratings, downgraded one rating and discontinued 17 ratings.
The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit support levels that are consistent with the current ratings. The rating downgrade reflects the transaction’s continued erosion of credit support as well as negative trends in delinquency and projected loss activity. The discontinued ratings are the result of the 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 September 27, 2018.
The transactions consist of U.S. RMBS transactions. The pools backing these transactions consist of prime, subprime, Alt-A and ReREMIC collateral.
The ratings assigned to the securities listed 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 actual deal or tranche performance that is not fully reflected in the projected cash flows or model output.
-- Banc of America Funding 2015-R3 Trust, Resecuritization Trust Securities, Class 9A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities, Class 2A1
-- BCAP LLC 2015-RR3 Trust, Resecuritization Trust Securities, Class 4A1
-- Agate Bay Mortgage Trust 2014-2, Mortgage Pass-Through Certificates, Series 2014-2, Class B-4
-- Agate Bay Mortgage Trust 2014-3, Mortgage Pass-Through Certificates, Series 2014-3, Class B-4
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class M-3
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class M-4
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-1
-- C-BASS 2005-CB3 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2005-CB3, Class B-2
-- CSMC Trust 2014-WIN2, Mortgage Pass-through Certificates, Series 2014-WIN2, Class A-IO-S
-- CSMC Trust 2014-WIN2, Mortgage Pass-Through Certificates, Series 2014-WIN2, Class B-4
-- CSMC Trust 2015-3, Mortgage Pass-through Certificates, Series 2015-3, Class A-IO-S
-- CSMC Trust 2015-WIN1, Mortgage Pass-Through Certificates, Series 2015-WIN1, Class B-4
-- CSMC Trust 2015-WIN1, Mortgage Pass-through Certificates, Series 2015-WIN1, Class A-IO-S
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 2-A1
-- Lehman Mortgage Trust 2008-6, Mortgage Pass-Through Certificates, Series 2008-6, Class 2-A2
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class II-A-1
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-1
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-3
-- Wells Fargo Mortgage Backed Securities 2004-Y Trust, Mortgage Pass-Through Certificates, Series 2004-Y, Class III-A-4
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 1-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 2-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 3-A-1
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 3-A-4
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class 4-A-2
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class M2
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class A5
-- Citigroup Mortgage Loan Trust 2009-4, Re-REMIC Trust Certificates, Series 2009-4, Class 7A7
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 & Criteria.
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.
DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Ratings
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.