DBRS Assigns Provisional Ratings to WinWater Mortgage Loan Trust 2015-5

DBRS, Inc. (DBRS) has today assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2015-5 (the Certificates) issued by WinWater Mortgage Loan Trust 2015-5:

-- $424.0 million Class A-1 at AAA (sf)
-- $424.0 million Class A-2 at AAA (sf)
-- $385.7 million Class A-3 at AAA (sf)
-- $385.7 million Class A-4 at AAA (sf)
-- $289.3 million Class A-5 at AAA (sf)
-- $289.3 million Class A-6 at AAA (sf)
-- $96.4 million Class A-7 at AAA (sf)
-- $96.4 million Class A-8 at AAA (sf)
-- $308.5 million Class A-9 at AAA (sf)
-- $308.5 million Class A-10 at AAA (sf)
-- $77.1 million Class A-11 at AAA (sf)
-- $77.1 million Class A-12 at AAA (sf)
-- $19.3 million Class A-13 at AAA (sf)
-- $19.3 million Class A-14 at AAA (sf)
-- $38.3 million Class A-15 at AAA (sf)
-- $38.3 million Class A-16 at AAA (sf)
-- $289.3 million Class A-17 at AAA (sf)
-- $77.1 million Class A-18 at AAA (sf)
-- $19.3 million Class A-19 at AAA (sf)
-- $38.3 million Class A-20 at AAA (sf)
-- $424.0 million Class A-21 at AAA (sf)
-- $96.4 million Class A-22 at AAA (sf)
-- $385.7 million Class A-23 at AAA (sf)
-- $308.5 million Class A-24 at AAA (sf)
-- $424.0 million Class A-X-1 at AAA (sf)
-- $424.0 million Class A-X-2 at AAA (sf)
-- $385.7 million Class A-X-3 at AAA (sf)
-- $289.3 million Class A-X-4 at AAA (sf)
-- $19.3 million Class A-X-5 at AAA (sf)
-- $77.1 million Class A-X-6 at AAA (sf)
-- $308.5 million Class A-X-7 at AAA (sf)
-- $96.4 million Class A-X-8 at AAA (sf)
-- $38.3 million Class A-X-9 at AAA (sf)
-- $289.3 million Class A-X-10 at AAA (sf)
-- $19.3 million Class A-X-11 at AAA (sf)
-- $77.1 million Class A-X-12 at AAA (sf)
-- $38.3 million Class A-X-13 at AAA (sf)
-- $424.0 million Class A-X-14 at AAA (sf)
-- $385.7 million Class A-X-15 at AAA (sf)
-- $289.3 million Class A-X-16 at AAA (sf)
-- $96.4 million Class A-X-17 at AAA (sf)
-- $19.3 million Class A-X-18 at AAA (sf)
-- $77.1 million Class A-X-19 at AAA (sf)
-- $38.3 million Class A-X-20 at AAA (sf)
-- $385.7 million Class A-X-21 at AAA (sf)
-- $424.0 million Class A-X-22 at AAA (sf)
-- $308.5 million Class A-X-23 at AAA (sf)
-- $7.0 million Class B-1 at AA (sf)
-- $6.6 million Class B-2 at A (sf)
-- $6.1 million Class B-3 at BBB (sf)
-- $4.8 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-24, 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, A-23 and A-24 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 6.55% of credit enhancement provided by subordination. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 5.00%, 3.55%, 2.20% and 1.15% 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 586 loans with a total principal balance of $453,748,818 as of the Cut-Off Date (September 1, 2015). The mortgage loans were acquired by WinWater Acquisition Trust VII, WinWater Acquisition Trust BA4, WinWater Acquisition Trust CS-5 and WinWater Acquisition Trust W-5 (collectively, the WinWater Acquisition Trusts), either directly or indirectly from an originator. The Sponsor, WinWater Home Mortgage, LLC, established the WinWater Acquisition Trusts to aggregate and acquire certain mortgage loans on behalf of the Sponsor.

The originators for the mortgage pool are Stonegate Mortgage Corp. (6.9%), Ditech Mortgage Corp. (6.8%), Prospect Mortgage, LLC (6.5%), PMAC Lending Services, Inc. (6.2%) and various other originators, each comprising less than 6.0% of the mortgage loans.

The loans will be serviced by Cenlar FSB. Wells Fargo Bank, N.A. will act as the Master Servicer, Securities Administrator and Custodian. Wilmington Trust, National Association will serve as Trustee. WinWater Residential Acquisition Corp. 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.

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.