DBRS Finalizes Provisional Ratings on WinWater Mortgage Loan Trust 2014-1, Mortgage Pass-Through Certificates, Series 2014-1

DBRS has today finalized the following provisional ratings on the Mortgage Pass-Through Certificates, Series 2014-1 (the Certificates) issued by WinWater Mortgage Loan Trust 2014-1 (the Trust):

-- $212.0 million Class A-1 at AAA (sf)
-- $212.0 million Class A-2 at AAA (sf)
-- $228.9 million Class A-3 at AA (high) (sf)
-- $159.4 million Class A-4 at AAA (sf)
-- $159.4 million Class A-5 at AAA (sf)
-- $159.4 million Class A-6 at AAA (sf)
-- $41.9 million Class A-7 at AAA (sf)
-- $10.7 million Class A-8 at AAA (sf)
-- $52.6 million Class A-9 at AAA (sf)
-- $16.8 million Class A-10 at AA (high) (sf)
-- $16.8 million Class A-11 at AA (high) (sf)
-- $212.0 million Class A-12 at AAA (sf)
-- $16.8 million Class A-13 at AA (high) (sf)
-- $228.9 million Class A-14 at AA (high) (sf)
-- $228.9 million Class A-X-1 at AA (high) (sf)
-- $228.9 million Class A-X-2 at AA (high) (sf)
-- $228.9 million Class A-X-3 at AA (high) (sf)
-- $228.9 million Class A-X-4 at AA (high) (sf)

Class A-6, Class A-12, Class A-13, Class A-14, Class A-X-1, Class A-X-2, Class A-X-3 and Class A-X-4 are interest-only certificates. The class balances represent notional amounts.

Class A-1, Class A-2, Class A-3, Class A-4, Class A-9, Class A-10, Class A-14, Class A-X-2, Class A-X-3 and Class A-X-4 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Class A-1, Class A-2, Class A-4, Class A-5, Class A-7, Class A-8 and Class A-9 are super senior certificates. These classes benefit from additional protection from senior support certificates (Class A-10 and Class A-11) with respect to loss allocation.

The AAA (sf) ratings in this transaction reflect the 15.00% of credit enhancement provided by subordination. The AA (high) (sf) ratings reflect 8.25% of credit enhancement. Other than the specified classes above, DBRS does not rate any other classes in this transaction.

The certificates are backed by 306 loans with a total principal balance of $249,465,638 as of the Cut-Off Date (June 1, 2014). The mortgage loans were acquired by WinWater Acquisition Trust I, WinWater Acquisition Trust II and WinWater Acquisition Trust BA1 (collectively, the WinWater Acquisition Trusts) either directly from an originator or through a third-party loan aggregator. The Sponsor, WinWater Home Mortgage, LLC (WWHM), established the WinWater Acquisition Trusts to aggregate and acquire certain mortgage loans on behalf of the Sponsor.

The originators for the mortgage pool are JMAC Lending, Inc. (JMAC, 13.9%), RPM Mortgage, Inc. (RPM, 12.6%), Opes Advisors, Inc. (Opes, 9.9%), Guaranteed Rate, Inc. (Guaranteed Rate, 7.7%), Paramount Residential Mortgage Group (Paramount, 6.2%), PrimeLending, a Plains Capital Company (PrimeLending, 5.9%) and various other originators, each comprising less than 5% of the mortgage loans.

The loans will be serviced by Cenlar FSB (Cenlar, 99.1%) and PHH Mortgage Corporation (PHH, 0.9%). Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer, Securities Administrator and Custodian. Christiana Trust, a division of Wilmington Savings Fund Society, FSB will serve as Trustee. WinWater Residential Acquisition Corp. (WWRAC) will act as the Servicing Administrator with respect to the loans serviced by Cenlar. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

Each originator has made certain representations and warranties concerning the mortgage loans. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans, and resolution of disputes is ultimately subject to determination in an arbitration proceeding.

DBRS views the representations and warranties features for this transaction to be consistent with recent DBRS-rated prime jumbo transactions. However, some originators may potentially experience financial stress that could result in their inability to fulfill repurchase obligations and the backstop to fulfill some of the obligations is being provided by an unrated entity (the Seller). To capture the above perceived weakness, DBRS adjusted downward the originator scores of the lenders in the portfolio. Such adjustment (and hence increases in default and loss rates) is to account for the originators’ or the Seller’s potential inability to fulfill repurchase obligations. The full description of the representations and warranties standard, the mitigating factors and the DBRS analysis are detailed in the related report.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for U.S. RMBS Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions and Legal Criteria for U.S. Structured Finance Transactions, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.