DBRS Takes Rating Actions on 68 U.S. RMBS Transactions

DBRS, Inc. (DBRS) reviewed 639 classes from 68 U.S. resecuritized real estate mortgage investment conduit (ReREMIC) and residential mortgage-backed security (RMBS) transactions. Of the 639 classes reviewed, DBRS upgraded 178 ratings, confirmed 448 ratings, downgraded two ratings and discontinued 11 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 downgrades reflect the transactions’ 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 a result of DBRS’s application of the “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” published in September 2018.

The pools backing these ReREMIC and RMBS transactions consist of prime, subprime, option adjustable-rate mortgages, Alt-A, scratch and dent, second-lien, ReREMIC and agency credit 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, and a counterparty’s rating as well as actual deal or tranche performance that is not fully reflected in the projected cash flows or model output.

-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A1
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A6
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A7
-- BCAP LLC 2015-RR6 Trust, Resecuritization Trust Securities, Class 1A1
-- BCAP LLC 2015-RR6 Trust, Resecuritization Trust Securities, Class 1A2
-- 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
-- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 3A2
-- Citigroup Mortgage Loan Trust 2014-10, Resecuritization Trust Securities, Series 2014-10, Class 4A3
-- 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 2-A-1
-- CSMC Series 2015-6R, CSMC Series 2015-6R, Class 4-A-1
-- GSMSC Resecuritization Trust 2014-5R, Series 2014-5R Resecuritization Trust Securities, Class 3A
-- 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
-- GSMSC Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 1B
-- 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-4
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-5
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-6
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A3
-- Morgan Stanley Resecuritization Trust 2013-R9, Resecuritization Trust Securities, Class 5-A
-- Morgan Stanley Resecuritization Trust 2014-R9, Resecuritization Pass-Through Certificates, Series 2014-R9, Class 3-A
-- 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
-- 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 10-A2
-- RBSSP Resecuritization Trust 2009-6, Resecuritization Trust Certificates, Series 2009-6, Class 10-A4
-- 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
-- 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
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2016-HQA4, Class M-3AI
-- C-BASS 2007-SP1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2007-SP1, Class M-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-2
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class M-3
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-1
-- C-BASS 2004-CB7 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB7, Class B-2
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M2
-- First Franklin Mortgage Loan Trust, Series 2005-FFH2, Mortgage Pass-Through Certificates, Series 2005-FFH2, Class M3
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-3
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-4
-- MASTR Asset Backed Securities Trust 2005-WMC1, Mortgage Pass-Through Certificates, Series 2005-WMC1, Class M-5
-- Securitized Asset-Backed Receivables LLC Trust 2005-EC1, Mortgage Pass-Through Certificates, Series 2005-EC1, Class M-2
-- Terwin Mortgage Trust 2004-19HE, Asset-Backed Certificates, Series 2004-19HE, Class A-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class A-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class A-3
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class M-1
-- Terwin Mortgage Trust 2004-7HE, Asset-Backed Certificates, Series 2004-7HE, Class S
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class A-1
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class A-3
-- Terwin Mortgage Trust 2004-9HE, Asset-Backed Certificates, Series 2004-9HE, Class M-1
-- Terwin Mortgage Trust 2004-13ALT, Asset-Backed Certificates, Series 2004-13ALT, Class 2-PA-1

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.

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