DBRS Morningstar Takes Rating Actions on 58 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 214 classes from 58 U.S. resecuritized real estate mortgage investment conduit (ReREMIC) and residential mortgage-backed security (RMBS) transactions. Of the 214 classes reviewed, DBRS Morningstar confirmed 119 ratings, upgraded 59 ratings, and discontinued 36 ratings.

The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The rating upgrades reflect positive performance trends and increase in credit support sufficient to withstand stresses at their new rating levels. The discontinuations reflect full repayment of principal to bondholders.

DBRS Morningstar’s rating actions are based on the following analytical considerations:

-- Key performance measures as reflected in month-over-month changes in delinquency (including forbearance) percentages, credit enhancement (CE) increases since deal inception, and CE levels relative to 30 -day+ delinquencies.

-- Offset of mortgage-relief initiatives via direct-to-consumer economic aid, mortgage payment assistance, and foreclosure suspension directives.

-- Elevated economic concerns and more conservative home -price assumptions.

As a result of the Coronavirus Disease (COVID-19) pandemic, DBRS Morningstar expects increased delinquencies, loans on forbearance plans, and a potential near-term decline in the values of the mortgaged properties. Such deteriorations may adversely affect borrowers’ ability to make monthly payments, refinance their loans, or sell properties in an amount sufficient to repay the outstanding balance of their loans.

In connection with the economic stress assumed under its moderate scenario (see “DBRS Morningstar Releases Global Macroeconomic Scenarios: December Update” published on December 2, 2020), DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives sSuch MVD assumptions are derived through a fundamental home price approach based on the forecast unemployment rates and GDP growth outlined in the aforementioned moderate scenario.

The pools backing the reviewed ReREMIC and RMBS transactions consist of legacy prime, subprime, option adjustable-rate mortgage, Scratch & Dent, Alt-A, ReREMIC, and single family rental collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation; however, in this case, the ratings on the subject securities may either reflect additional seasoning being warranted to substantiate a further upgrade or actual deal/tranche performance that is not fully reflected in the projected cash flows/model output.

-- APS Resecuritization Trust 2016-3, REMIC Certificates, Series 2016-3, Class 1-A
-- APS Resecuritization Trust 2016-3, REMIC Certificates, Series 2016-3, Class 2-A
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A1
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A6
-- Banc of America Funding 2014-R7 Trust, Resecuritization Trust Securities, Class 2A7
-- Banc of America Funding 2015-R7 Trust, Resecuritization Trust Securities, Class 1A1
-- BCAP LLC 2015-RR6 Trust, Resecuritization Trust Securities, Class 1A2
-- Citigroup Mortgage Loan Trust 2014-10, Resecuritization Trust Securities, Series 2014-10, Class 4A3
-- CSMC Series 2015-5R, CSMC Series 2015-5R, Class 1-A-1
-- GSMSC Resecuritization Trust 2014-5R, Series 2014-5R Resecuritization Trust Securities, Class 3A
-- J.P. Morgan Mortgage Trust, Series 2008-R4, Series 2008-R4 Trust Certificates, Class 2-A-1
-- Morgan Stanley Resecuritization Trust 2015-R3, Resecuritization Pass-Through Securities, Series 2015-R3, Class 7-A2
-- Morgan Stanley Resecuritization Trust 2015-R3, Resecuritization Pass-Through Securities, Series 2015-R3, Class 9-A2
-- Morgan Stanley Resecuritization Trust 2015-R6, Resecuritization Pass-Through Securities, Series 2015-R6, Class 1-A2
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class M2
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class B1
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class B2
-- Banc of America Funding 2016-R1 Trust, Resecuritization Trust Securities, Class A5
-- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 4A1
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 3-A-2

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277