Press Release
DBRS Extends its Review on 22 RMBS-Backed Structured Credit Transactions
Structured CreditDBRS, Inc. (“DBRS”) has today extended the Under Review with Developing Implications on the 22 structured credit transactions comprising 47 ratings backed in whole or in part by residential mortgage-backed securities (“RMBS”). DBRS initially placed 27 transactions comprising of 53 ratings initially Under Review with Developing Implications on March 3, 2014. Since that date, DBRS has removed Under Review with Developing Implications on 5 transactions comprising of 6 ratings due to either the discontinuation or the restructuring of the transaction.
These transactions were placed Under Review with Developing Implications to reflects the release of “RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology” (“RMBS Insight 1.2”), which DBRS uses to rate and monitor structured credit transactions with underlying RMBS assets.
While DBRS does not deem the methodology updates to be material as RMBS Insight 1.2 substantially retains the core conceptual and structural framework of RMBS Insight. The key updates to the methodology include:
- The inclusion of an agency model that covers 30-year fully amortizing fixed rate agency loans with documentations;
- Updated house price model and forecast, as well as state-by-state foreclosure timelines;
- Additional variables with respect to loan modification and documentation type;
- A more refined approach in assessing purchase money mortgages.
The principal methodology to be used to review the impact of the release of RMBS Insight 1.2 is “Rating Global Structured Finance CDO Restructurings,” which can be found on our website under Methodologies.
The complete list of public ratings affected by today’s rating action can be found at the end of this Press Release. DBRS re-rates all credit ratings that have been assigned based on the methodology changes and discloses all resulting ratings and rating actions changes.
As this review pertains to a methodological change, a resolution of today’s Under Review with Developing Implications placements should be completed within a six month period. The purpose of these rating actions was solely based upon the updated to the current methodology. DBRS reviews and ratings are under regular surveillance.
These credit ratings have been issued outside the European Union (EU) and may be used for regulatory purposes by financial institutions in the EU.
The rating methodologies and criteria used in the analysis of this transaction can be found at: http://www.dbrs.com/about/methodologies. Information regarding DBRS ratings, including definitions, policies and methodologies is available on www.dbrs.com.
Note:
All figures are in U.S. dollars unless otherwise noted.
Ratings
Altius III Funding Ltd.
Ambrose 2012-1
Ambrose 2013-2
Ambrose 2013-3
Ambrose 2013-4
Ambrose 2013-5
Banc of America Funding 2012-R4 Trust
Broderick CDO 2 Ltd.
Kleros Preferred Funding Ltd.
LStreet II, LLC
LStreet II, LLC Series 2012-11
LStreet II, LLC Series 2012-3
LStreet II, LLC Series 2012-4
LStreet II, LLC Series 2012-7
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.
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Related Documents
Methodology Used:
Contacts
Glen Leppert
Associate Managing Director - US Structured Credit Ratings
+(1) 203 883 5781
glen.leppert@morningstar.com- Quan Yoon, CFA
Vice President, US Structured Credit - Global Structured Finance
+1 212 806 3286
quan.yoon@morningstar.com - Jerry van Koolbergen
Managing Director - US Structured Credit Ratings
+(1) 212 806 3260
jerry.vankoolbergen@morningstar.com