DBRS Assigns Provisional Ratings to WinWater Mortgage Loan Trust 2015-A

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

-- $212.1 million Class A-1 at AAA (sf)
-- $212.1 million Class A-2 at AAA (sf)
-- $196.3 million Class A-3 at AAA (sf)
-- $196.3 million Class A-4 at AAA (sf)
-- $147.2 million Class A-5 at AAA (sf)
-- $147.2 million Class A-6 at AAA (sf)
-- $49.1 million Class A-7 at AAA (sf)
-- $49.1 million Class A-8 at AAA (sf)
-- $157.0 million Class A-9 at AAA (sf)
-- $157.0 million Class A-10 at AAA (sf)
-- $39.3 million Class A-11 at AAA (sf)
-- $39.3 million Class A-12 at AAA (sf)
-- $9.8 million Class A-13 at AAA (sf)
-- $9.8 million Class A-14 at AAA (sf)
-- $15.8 million Class A-15 at AAA (sf)
-- $15.8 million Class A-16 at AAA (sf)
-- $147.2 million Class A-17 at AAA (sf)
-- $39.3 million Class A-18 at AAA (sf)
-- $9.8 million Class A-19 at AAA (sf)
-- $15.8 million Class A-20 at AAA (sf)
-- $212.1 million Class A-21 at AAA (sf)
-- $49.1 million Class A-22 at AAA (sf)
-- $196.3 million Class A-23 at AAA (sf)
-- $212.1 million Class A-X-1 at AAA (sf)
-- $212.1 million Class A-X-2 at AAA (sf)
-- $196.3 million Class A-X-3 at AAA (sf)
-- $147.2 million Class A-X-4 at AAA (sf)
-- $9.8 million Class A-X-5 at AAA (sf)
-- $39.3 million Class A-X-6 at AAA (sf)
-- $157.0 million Class A-X-7 at AAA (sf)
-- $49.1 million Class A-X-8 at AAA (sf)
-- $15.8 million Class A-X-9 at AAA (sf)
-- $147.2 million Class A-X-10 at AAA (sf)
-- $9.8 million Class A-X-11 at AAA (sf)
-- $39.3 million Class A-X-12 at AAA (sf)
-- $15.8 million Class A-X-13 at AAA (sf)
-- $212.1 million Class A-X-14 at AAA (sf)
-- $196.3 million Class A-X-15 at AAA (sf)
-- $147.2 million Class A-X-16 at AAA (sf)
-- $49.1 million Class A-X-17 at AAA (sf)
-- $9.8 million Class A-X-18 at AAA (sf)
-- $39.3 million Class A-X-19 at AAA (sf)
-- $15.8 million Class A-X-20 at AAA (sf)
-- $196.3 million Class A-X-21 at AAA (sf)
-- $212.1 million Class A-X-22 at AAA (sf)
-- $157.0 million Class A-X-23 at AAA (sf)
-- $3.6 million Class B-1 at AA (sf)
-- $3.8 million Class B-2 at A (sf)
-- $3.9 million Class B-3 at BBB (sf)
-- $3.5 million Class B-4 at BB (sf)

Classes A-X-1, A-X-2, A-X-3, A-X-4, A-X-5, A-X-6, A-X-7, A-X-8, A-X-9, A-X-10, A-X-11, A-X-12, A-X-13, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22 and A-X-23 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-21, A-22, A-23, A-X-2, A-X-3, A-X-7, A-X-8, A-X-14, A-X-15, A-X-16, A-X-17, A-X-18, A-X-19, A-X-20, A-X-21, A-X-22 and A-X-23 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Classes A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-17, A-18, A-19, A-22 and A-23 are super senior certificates. These classes benefit from additional protection from senior support certificates (Classes A-15, A-16 and A-20) with respect to loss allocation.

The AAA (sf) ratings in this transaction reflect the 8.15% of credit enhancement provided by subordination. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 6.60%, 4.95%, 3.25% and 1.75% 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 317 loans with a total principal balance of $230,932,973 as of the Cut-Off Date (May 1, 2015). The mortgage loans were acquired by WinWater Acquisition Trust VI (the WinWater Acquisition Trust) through a third-party loan aggregator, Bank of America, National Association (BANA). The Sponsor, WinWater Home Mortgage, LLC (WWHM), established the WinWater Acquisition Trust to aggregate and acquire certain mortgage loans on behalf of the Sponsor.

The originators for the mortgage pool are PrimeLending, a Plains Capital Company (PrimeLending, 15.6%), Caliber Home Loans, Inc. (12.6%), Stonegate Mortgage Corporation (12.3%), JMAC Lending, Inc. (10.5%) and various other originators, each comprising less than 10.0% of the mortgage loans.

The loans will be serviced by New Penn Financial, LLC d/b/a Shellpoint Mortgage Servicing (SMS, 98.5%) and PrimeLending (1.5%). It is expected that servicing on all the PrimeLending-serviced loans will be transferred to SMS on May 31, 2015. Nationstar Mortgage LLC (Nationstar) will act as the Master Servicer. Citibank, N.A. (Citibank) will serve as Securities Administrator and Wilmington Savings Fund Society, FSB, d/b/a Christiana Trust, will serve as Trustee. Wells Fargo Bank, N.A. will act as Custodian. WinWater Residential Acquisition Corp. (WWRAC) 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 may ultimately be 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 the originator scores of the lenders in the portfolio downward. Such an adjustment (and consequent 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 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, 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.

The full report providing additional analytical detail is available by clicking on the link below or by contacting us at info@dbrs.com.