Press Release

DBRS Morningstar Takes Rating Actions on 59 U.S. RMBS Transactions

RMBS
April 02, 2020

DBRS, Inc. (DBRS Morningstar) reviewed 776 classes from 59 U.S. residential mortgage-backed security (RMBS) transactions. Of the 776 classes reviewed, DBRS Morningstar upgraded eight ratings, confirmed 754 ratings, and discontinued 14 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 reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders.

The rating actions are a result of DBRS Morningstar’s application of the “U.S. RMBS Surveillance Methodology” published in February 2020.

The pools backing these RMBS transactions consist of prime, manufactured housing, second lien, and ReREMIC collateral.

The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect either additional seasoning being warranted to substantiate a further upgrade, or actual deal or tranche performance not being fully reflected in the projected cash flows/model output.

-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4
-- CSMC Trust 2013-6, Mortgage Pass-Through Certificates, Series 2013-6, Class B-4
-- CSMC Trust 2014-WIN1, Mortgage Pass-Through Certificates, Series 2014-WIN1, Class B-4
-- CSMC 2017-HL1 Trust, Mortgage Pass-Through Certificates, Series 2017-HL1, Class B-2
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-2
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-3
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-4
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-5
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-2
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-3
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-4
-- J.P. Morgan Mortgage Trust 2019-3, Mortgage Pass-Through Certificates, Series 2019-3, Cl B-2
-- J.P. Morgan Mortgage Trust 2019-3, Mortgage Pass-Through Certificates, Series 2019-3, Cl B-5
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-3
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4
-- APS Resecuritization Trust 2015-3, REMIC Notes, Series 2015-3, Class 1-A
-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-3
-- Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1, REMIC Trust Certificates, Series 2008-RS1, Class 1-A-1
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 3-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 5-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 6-A2
-- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-2
-- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-5
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 1-A2
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A1
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A2
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 4A1
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class A3
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class II-X
-- 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

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodologies are the 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 dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The rated entity or its related entities did not participate in the rating process for this rating action. DBRS Morningstar 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 https://www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

Ratings

  • APS Resecuritization Trust 2015-3

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20REMIC Notes, Series 2015-3, Class 1-AA (high) (sf)--Confirmed
    US
    More
    Less

  • ASG Resecuritization Trust 2009-1

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20REMIC Notes, Series 2009-1, Class A75AA (high) (sf)--Upgraded
    US
    02-Apr-20REMIC Notes, Series 2009-1, Class G75AA (high) (sf)--Upgraded
    US
    More
    Less

  • ASG Resecuritization Trust 2009-2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20REMIC Notes, Series 2009-2, Class A75AAA (sf)--Confirmed
    US
    02-Apr-20REMIC Notes, Series 2009-2, Class G75AAA (sf)--Confirmed
    US
    More
    Less

  • Agate Bay Mortgage Trust 2015-1

  • BCAP LLC 2008-RR2 Trust

  • BCAP LLC 2012-RR10-I Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Resecuritization Trust Securities, Class 6A3AAA (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 6A5AAA (sf)--Confirmed
    US
    More
    Less

  • BCAP LLC 2012-RR2 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Resecuritization Trust Securities, Class 8A1AAA (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 8A2AA (high) (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 8A3AA (high) (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 4A2Discontinued--Disc.-Repaid
    US
    02-Apr-20Resecuritization Trust Securities, Class 4A3Discontinued--Disc.-Repaid
    US
    More
    Less

  • BCAP LLC 2012-RR3 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Resecuritization Trust Securities, Series 2012-RR3, Class 4A3Discontinued--Disc.-Repaid
    US
    02-Apr-20Resecuritization Trust Securities, Series 2012-RR3, Class 4A5Discontinued--Disc.-Repaid
    US
    02-Apr-20Resecuritization Trust Securities, Series 2012-RR3, Class 4A6Discontinued--Disc.-Repaid
    US
    More
    Less

  • BCAP LLC 2012-RR5 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Resecuritization Trust Securities, Class 8A1AAA (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 8A2AAA (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 8A4AAA (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 8A3AA (high) (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 8A5AA (high) (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 8A6AA (high) (sf)--Confirmed
    US
    More
    Less

  • BCAP LLC 2013-RR7 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Class 4A1AAA (sf)--Confirmed
    US
    More
    Less

  • BCAP LLC 2013-RR9 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Resecuritization Trust Securities, Class 1A1Discontinued--Disc.-Repaid
    US
    More
    Less

  • Banc of America Funding 2015-R4 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Resecuritization Trust Securities, Class 6A1AAA (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 3A1AA (high) (sf)--Confirmed
    US
    02-Apr-20Resecuritization Trust Securities, Class 6A2AA (high) (sf)--Upgraded
    US
    02-Apr-20Resecuritization Trust Securities, Class 7A1AA (sf)--Confirmed
    US
    More
    Less

  • C-BASS 2006-MH1 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-2BBB (high) (sf)--Upgraded
    US
    02-Apr-20C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class B-1B (high) (sf)--Confirmed
    US
    02-Apr-20C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class B-2C (sf)--Confirmed
    US
    02-Apr-20C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class B-3C (sf)--Confirmed
    US
    More
    Less

  • CHL Mortgage Pass-Through Trust Resecuritization 2008-3R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Resecuritization Pass-Through Certificates, Series 2008-3R, Class 1-A-1C (sf)--Confirmed
    US
    02-Apr-20Resecuritization Pass-Through Certificates, Series 2008-3R, Class 2-A-1C (sf)--Confirmed
    US
    More
    Less

  • CSMC 2017-HL1 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-1AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-10AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-11AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-12AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-13AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-14AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-2AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-3AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-4AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-5AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-6AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-7AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-8AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-9AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-IO1AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-IO2AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-IO3AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-IO4AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-IO5AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class A-IO6AAA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class B-1AA (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class B-2A (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class B-3BBB (sf)--Confirmed
    US
    02-Apr-20Mortgage Pass-Through Certificates, Series 2017-HL1, Class B-4BB (sf)--Confirmed
    US
    More
    Less

  • CSMC Series 2014-7R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20CSMC Series 2014-7R, 8-A-4AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-7R, 8-A-5AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-7R, 8-A-6AA (high) (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-7R, 4-A-1AA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-7R, 8-A-1AA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-7R, 8-A-3AA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-7R, 8-A-7AA (sf)--Confirmed
    US
    More
    Less

  • CSMC Series 2014-8R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20CSMC Series 2014-8R, Class 2-A-1AA (sf)--Confirmed
    US
    More
    Less

  • CSMC Series 2014-9R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20CSMC Series 2014-9R, Class 11-A-3AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-9R, Class 11-A-5AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2014-9R, Class 11-A-1Discontinued--Disc.-Repaid
    US
    02-Apr-20CSMC Series 2014-9R, Class 8-A-1Discontinued--Disc.-Repaid
    US
    More
    Less

  • CSMC Series 2015-4R

    Date IssuedDebt RatedRatingTrendActionAttributesi
    02-Apr-20CSMC Series 2015-4R, Class 1-A-1AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2015-4R, Class 1-A-2AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2015-4R, Class 1-A-3AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2015-4R, Class 3-A-2AAA (sf)--Confirmed
    US
    02-Apr-20CSMC Series 2015-4R, Class 3-A-4AAA (sf)--Confirmed
    US
    More
    Less

  • CSMC Trust 2013-6

    • Show More Issuers
APS Resecuritization Trust 2015-3
ASG Resecuritization Trust 2009-1
ASG Resecuritization Trust 2009-2
Agate Bay Mortgage Trust 2015-1
BCAP LLC 2008-RR2 Trust
BCAP LLC 2012-RR10-I Trust
BCAP LLC 2012-RR2 Trust
BCAP LLC 2012-RR3 Trust
BCAP LLC 2012-RR5 Trust
BCAP LLC 2013-RR7 Trust
BCAP LLC 2013-RR9 Trust
Banc of America Funding 2015-R4 Trust
C-BASS 2006-MH1 Trust
CHL Mortgage Pass-Through Trust Resecuritization 2008-3R
CSMC 2017-HL1 Trust
CSMC Series 2014-7R
CSMC Series 2014-8R
CSMC Series 2014-9R
CSMC Series 2015-4R
CSMC Trust 2013-6
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

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