DBRS Morningstar Takes Rating Actions on 47 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 593 classes from 47 U.S. resecuritized real estate mortgage investment conduit (ReREMIC) and residential mortgage-backed security (RMBS) transactions. Of the 593 classes reviewed, DBRS Morningstar confirmed 531 ratings, upgraded 36 ratings, and discontinued 26 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 an increase in credit support sufficient to withstand stresses at their new rating levels. The discontinuations reflect a 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 “Global Macroeconomic Scenarios: March 2021 Update,” published on March 17, 2021), DBRS Morningstar applies more severe market value decline (MVD) assumptions across all rating categories than what it previously used. DBRS Morningstar derives such MVD assumptions 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, second-lien, manufactured housing, ReREMIC, and prime jumbo collateral.

In the prime asset class, DBRS Morningstar generally believes this sector should have low intrinsic credit risk. Within the prime asset class, loans originated to (1) self-employed borrowers or (2) higher loan-to-value (LTV) ratio borrowers may be more sensitive to economic hardships resulting from higher unemployment rates and lower incomes. Self-employed borrowers are potentially exposed to more volatile income sources, which could lead to reduced cash flows generated from their businesses. Higher LTV borrowers, with lower equity in their properties, generally have fewer refinance opportunities and therefore slower prepayments.

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. Generally for RMBS transactions, the reporting of recent forbearance-related delinquencies (as opposed to nonforbearance-related delinquencies) in remittance reports has not been consistent and standardized. DBRS Morningstar believes that recent increases in delinquencies mostly reflect forbearances being requested and granted as a result of the coronavirus pandemic. Additionally, DBRS Morningstar believes that forbearance-related delinquencies, especially during the coronavirus pandemic, should have a lower probability of default than nonforbearance-related delinquencies. Because of the lack of standardized reporting, DBRS Morningstar may not be able to appropriately identify delinquencies as a result of forbearance in its loss analysis; therefore, for certain transactions, DBRS Morningstar may have projected significantly higher expected losses using its quantitative model. After reviewing transaction-level performance trends and other analytical considerations outlined in this press release, however, DBRS Morningstar may assign ratings that differ from those implied by the quantitative model, thus resulting in a material deviation.

-- Agate Bay Mortgage Trust 2014-2, Mortgage Pass-Through Certificates, Series 2014-2, Class B-4
-- Agate Bay Mortgage Trust 2014-3, Mortgage Pass-Through Certificates, Series 2014-3, Class B-4
-- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-3
-- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-4
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-3
-- Agate Bay Mortgage Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4
-- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through Certificates, Series 2013-J1, Class B-3
-- Citigroup Mortgage Loan Trust 2013-J1, Mortgage Pass-Through Certificates, Series 2013-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-2
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ1, Mortgage Pass-Through Certificates, Series 2019-PJ1, Class B-5
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-2
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-3
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-4
-- GS Mortgage-Backed Securities Trust 2019-PJ3, Mortgage Pass-Through Certificates, Series 2019-PJ3, Class B-5
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-5
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4
-- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2
-- TIAA Bank Mortgage Loan Trust 2018-2, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-2
-- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-3
-- TIAA Bank Mortgage Loan Trust 2018-3, Mortgage Pass-Through Certificates, Series 2018-3, Class B-4
-- Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1, REMIC Trust Certificates, Series 2008-RS1, Class 1-A-1
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 5-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 6-A2
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A2

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 can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://www.dbrsmorningstar.com/research/373262.

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].

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