DBRS Assigns Provisional Ratings to Agate Bay Mortgage Trust 2015-2

DBRS, Inc. (DBRS) has today assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2015-2 (the Certificates) issued by Agate Bay Mortgage Trust 2015-2 (the Trust):

-- $276.6 million Class A-1 at AAA (sf)
-- $276.6 million Class A-2 at AAA (sf)
-- $276.6 million Class A-3 at AAA (sf)
-- $258.8 million Class A-4 at AAA (sf)
-- $258.8 million Class A-5 at AAA (sf)
-- $258.8 million Class A-6 at AAA (sf)
-- $194.1 million Class A-7 at AAA (sf)
-- $194.1 million Class A-8 at AAA (sf)
-- $194.1 million Class A-9 at AAA (sf)
-- $64.7 million Class A-10 at AAA (sf)
-- $64.7 million Class A-11 at AAA (sf)
-- $64.7 million Class A-12 at AAA (sf)
-- $17.8 million Class A-13 at AAA (sf)
-- $17.8 million Class A-14 at AAA (sf)
-- $17.8 million Class A-15 at AAA (sf)
-- $276.6 million Class A-X-1 at AAA (sf)
-- $276.6 million Class A-X-2 at AAA (sf)
-- $276.6 million Class A-X-3 at AAA (sf)
-- $276.6 million Class A-X-4 at AAA (sf)
-- $258.8 million Class A-X-5 at AAA (sf)
-- $258.8 million Class A-X-6 at AAA (sf)
-- $258.8 million Class A-X-7 at AAA (sf)
-- $194.1 million Class A-X-8 at AAA (sf)
-- $194.1 million Class A-X-9 at AAA (sf)
-- $194.1 million Class A-X-10 at AAA (sf)
-- $64.7 million Class A-X-11 at AAA (sf)
-- $64.7 million Class A-X-12 at AAA (sf)
-- $64.7 million Class A-X-13 at AAA (sf)
-- $17.8 million Class A-X-14 at AAA (sf)
-- $17.8 million Class A-X-15 at AAA (sf)
-- $17.8 million Class A-X-16 at AAA (sf)
-- $3.8 million Class B-1 at AA (sf)
-- $7.4 million Class B-2 at BBB (sf)
-- $3.1 million Class B-3 at BB (sf)

Class A-X-1, Class A-X-2, Class A-X-3, Class A-X-4, Class A-X-5, Class A-X-6, Class A-X-7, Class A-X-8, Class A-X-9, Class A-X-10, Class A-X-11, Class A-X-12, Class A-X-13, Class A-X-14, Class A-X-15 and Class A-X-16 are interest-only certificates. The class balances represent notional amounts.

Class A-4, Class A-5, Class A-6, Class A-7, Class A-8, Class A-9, Class A-10, Class A-11 and Class A-12 are super senior certificates. These classes benefit from additional protection from senior support certificates (Class A-13, Class A-14 and Class A-15) with respect to loss allocation.

Class A-1, Class A-2, Class A-3, Class A-4, Class A-5, Class A-6, Class A-7, Class A-8, Class A-10, Class A-11, Class A-13, Class A-14, Class A-X-2, Class A-X-3, Class A-X-4, Class A-X-5, Class A-X-6, Class A-X-7, Class A-X-8, Class A-X-11 and Class A-X-14 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents.

The AAA (sf) ratings in this transaction reflect the 6.05% of credit enhancement provided by subordination. The AA (sf), BBB (sf) and BB (sf) ratings reflect 4.75%, 2.25% and 1.20% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction.

The Certificates are backed by 400 loans with a total principal balance of $294,452,553 as of the Cut-Off Date (March 1, 2015). The mortgage loans were acquired by TH TRS Corp. (the Sponsor) directly from originators pursuant to its direct loan acquisition program.

The originators for the mortgage pool are NYCB Mortgage Company, LLC (13.5%), George Mason Mortgage, LLC (13.2%), United Shore Financial Services, LLC (11.3%), Parkside Lending, LLC (7.9%), Prospect Mortgage, LLC (7.7%), Stifel Bank and Trust (6.5%), Provident Savings Bank, F.S.B. (5.6%), Commerce Mortgage (5.5%), Mortgage Master, Inc. (Mortgage Master, 5.2%), American Pacific Mortgage Corporation (5.1%) and various other originators, each comprising less than 5.0% of the mortgage loans.

The loans will be serviced by Cenlar FSB. Wells Fargo Bank, N.A. (rated AA (high) and R-1 (high) with Stable trends by DBRS) will act as the Master Servicer, Securities Administrator and Custodian. Christiana Trust, a division of Wilmington Savings Fund Society, FSB, will serve as Trustee. Matrix Financial Services Corporation will act as the Servicing Administrator. 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 generally 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 Sponsor). To capture the above-perceived weakness, DBRS adjusted the originator scores of some lenders in the portfolio downward. Such adjustment (and hence increases in default and loss rates) is to account for the originators’ or the Sponsor’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 presale report.

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

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.

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, which can be found on our website under Methodologies.