DBRS Takes Rating Actions on 39 U.S. RMBS Transactions
RMBSDBRS, Inc. (DBRS) reviewed 742 classes from 39 U.S. residential mortgage-backed security (RMBS) transactions. Of the 742 classes reviewed, DBRS upgraded 15 ratings, confirmed 723 ratings and discontinued four 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 discontinued ratings are the result of full repayment of principal to bondholders.
The rating actions are the result of DBRS’s application of its “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” published on June 14, 2019.
The pools backing these U.S. RMBS transactions consist of Prime and Re-REMIC 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 small loan count, certain structural features that are not fully reflected in the quantitative model output or additional seasoning required to substantiate further upgrades.
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes, Series 2014-A, Class B-2
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes, Series 2014-A, Class B-3
-- Citigroup Mortgage Loan Trust 2014-A, Mortgage Backed-Notes, Series 2014-A, Class B-4
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-3C
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B3-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B3-IOB
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B3-IOC
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-4B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B4-IOB
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5A
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B-5B
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOA
-- New Residential Mortgage Loan Trust 2017-5, Mortgage-Backed Notes, Series 2017-5, Class B5-IOB
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2A
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2B
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B-2C
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IO
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IOA
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IOB
-- New Residential Mortgage Loan Trust 2017-6, Mortgage-Backed Notes, Series 2017-6, Class B2-IOC
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2A
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2B
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2C
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-2D
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IO
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IOA
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IOB
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B2-IOC
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-3
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-3A
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-3B
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-3C
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-3D
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B3-IO
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B3-IOA
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B3-IOB
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B3-IOC
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-4
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-4A
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-4B
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-4C
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B4-IOA
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B4-IOB
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B4-IOC
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-5
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-5A
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-5B
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-5C
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-5D
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B5-IOA
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B5-IOB
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B5-IOC
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B5-IOD
-- New Residential Mortgage Loan Trust 2018-3, Mortgage-Backed Notes, Series 2018-3, Class B-7
-- CSMC Trust 2013-7, Mortgage Pass-Through Certificates, Series 2013-7, Class B-4
-- CSMC Trust 2013-7, Mortgage Pass-through Certificates, Series 2013-7, Class A-IO-S
-- CSMC 2017-HL2 Trust, Mortgage Pass-Through Certificates, Series 2017-HL2, Class B-2
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class IO-S-1
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class IO-S-2
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class IO-S-3
-- CSMLT 2015-3 Trust, Mortgage Pass-Through Certificates, Series 2015-3, Class A-IO-S
-- J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through Certificates, Series 2013-3, Class B-4
-- J.P. Morgan Mortgage Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-3
-- J.P. Morgan Mortgage Trust 2014-IVR3, Mortgage Pass-Through Certificates, Series 2014-IVR3, Class B-4
-- 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
-- J.P. Morgan Mortgage Trust 2005-A4, Mortgage Pass-Through Certificates, Series 2005-A4, Class B-1
-- CSMC Trust 2015-WIN1, Mortgage Pass-through Certificates, Series 2015-WIN1, Class A-IO-S
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class M2
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class A5
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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