Press Release

DBRS Morningstar Takes Rating Actions on 18 U.S. RMBS Transactions

RMBS
August 24, 2021

DBRS, Inc. (DBRS Morningstar) reviewed 550 classes from 18 U.S. residential mortgage-backed security (RMBS) transactions. Of the 550 classes reviewed, DBRS Morningstar upgraded 71 ratings, confirmed 464 ratings, discontinued four ratings, and maintained an Under Review with Negative Implications status for 11 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders. The Under Review with Negative Implications status reflects the negative impact of the Coronavirus Disease (COVID-19) pandemic on the bonds. For certain bonds, DBRS Morningstar maintained the Under Review with Negative Implications status amid the uncertainty in these transactions’ performance with respect to forbearance and delinquency trends.

The pools backing the reviewed RMBS transactions consist of Freddie Mac, Fannie Mae and prime 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.

-- Structured Agency Credit Risk Debt Notes, Series 2018-HRP2, Structured Agency Credit Risk Debt Notes, Series 2018-HRP2, Classes B-1B, B-2A, B-1, B-2AR, and B-2A1

-- Structured Agency Credit Risk Debt Notes, Series 2019-HRP1, Structured Agency Credit Risk Debt Notes, Series 2019-HRP1, Classes M-3A, B-1A, B-1B, M-3AR, M-3AS, M-3AT, M-3AU, M-3AI, B-1, B-1AR, and B-1AI

-- Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Classes M-2B, B-1, M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2BR, M-2BS, M-2BT, M-2BU, and M-2BI

-- Freddie Mac STACR Trust 2019-DNA1, Structured Agency Credit Risk (STACR) 2019-DNA1 Notes, Classes M-2A, B-1B, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, and B-1

-- Structured Agency Credit Risk Debt Notes, Series 2019-DNA3, Structured Agency Credit Risk Debt Notes, Series 2019-DNA3, Classes M-2A, B-1A, B-1B, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, B-1, B-1AR, and B-1AI

-- Freddie Mac STACR REMIC Trust 2020-DNA5, Structured Agency Credit Risk (STACR) REMIC 2020-DNA5 Notes, Classes M-2B, M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, and M-2UB

-- CSMLT 2015-1 Trust, Mortgage Pass-Through Certificates, Series 2015-1, Classes B-4 and A-IO-S

-- Flagstar Mortgage Trust 2019-2, Mortgage Pass-Through Certificates, Series 2019-2, Classes B-2, B-3, B-4, and B-5

-- J.P. Morgan Mortgage Trust 2020-LTV2, Mortgage Pass-Through Certificates, Series 2020-LTV2, Classes B-2, B-2-A, B-2-X, B-3, B-3-A, B-3-X, B-4, B-5, B-X, and B-5-Y

-- Mello Mortgage Capital Acceptance 2018-MTG1, Mortgage Pass-Through Certificates, Series 2018-MTG1, Classes B2, B3, B4, and B5

-- Wells Fargo Mortgage Backed Securities 2019-1 Trust, Mortgage Pass-Through Certificates, Series 2019-1, Classes B-2, B-3, and B-4

-- WinWater Mortgage Loan Trust 2015-4, Mortgage Pass-Through Certificates, Series 2015-4, Class B-4

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in the delinquencies for many RMBS asset classes.

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low loan-to-value ratios (LTVs), and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes in recent months delinquencies have been gradually trending downward as forbearance periods come to an end for many borrowers.

In connection with the economic stress assumed under its moderate scenario (see “Global Macroeconomic Scenarios - June 2021 Update,” published on June 18, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

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.

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

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 info@dbrsmorningstar.com.

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

Ratings

  • CSMLT 2015-1 Trust

    Date IssuedDebt RatedRatingTrendActionAttributesi
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-10AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-11AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-4AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-5AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-6AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-7AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-8AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-9AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-3AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-5AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-6AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-7AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-8AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class B-1AAA (sf)--Upgraded
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class B-2AA (high) (sf)--Upgraded
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class B-3AA (sf)--Upgraded
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-IO-SA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class B-4A (sf)--Upgraded
    US
    More
    Less

  • FirstKey Mortgage Trust 2015-1, Mortgage Pass-Through Certificates

    Date IssuedDebt RatedRatingTrendActionAttributesi
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-1AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-10AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-11AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-2AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-3AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-4AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-5AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-6AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-7AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-1AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-2AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-3AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-4AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-5AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2015-1, Class A-X-7AAA (sf)--Confirmed
    US
    More
    Less

  • Flagstar Mortgage Trust 2019-2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-1AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-10AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-11AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-2AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-3AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-4AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-5AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-6AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-7AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-8AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-9AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class A-X-1AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class B-1AA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class B-2A (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class B-3BBB (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class B-4BB (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2019-2, Class B-5B (sf)--UR-Neg.
    US
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    Less

  • Freddie Mac STACR REMIC Trust 2020-DNA4

  • Freddie Mac STACR REMIC Trust 2020-DNA5

  • Freddie Mac STACR Trust 2019-DNA1

  • J.P. Morgan Mortgage Trust 2020-LTV2

  • Mello Mortgage Capital Acceptance 2018-MTG1

  • Structured Agency Credit Risk Debt Notes, Series 2018-DNA2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-1A (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2ABBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2AIBBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2ARBBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2ASBBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2ATBBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2AUBBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2BB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2BBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2BIBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2BRBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2BSBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2BTBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2BUBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2IBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2RBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2SBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2TBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class M-2UBB (high) (sf)--Confirmed
    US
    24-Aug-21Structured Agency Credit Risk Debt Notes, Series 2018-DNA2, Class B-1B (sf)--UR-Neg.
    US
    More
    Less

  • Structured Agency Credit Risk Debt Notes, Series 2018-HRP2

  • Structured Agency Credit Risk Debt Notes, Series 2019-DNA3

  • Structured Agency Credit Risk Debt Notes, Series 2019-HRP1

  • Wells Fargo Mortgage Backed Securities 2019-1 Trust

  • WinWater Mortgage Loan Trust 2014-2

    Date IssuedDebt RatedRatingTrendActionAttributesi
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-1 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-10 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-2 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-3 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-4 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-5 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-8AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-1 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-2 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-3 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class A-X-5 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class B-1 AAA (sf)--Confirmed
    US
    24-Aug-21Mortgage Pass-Through Certificates, Series 2014-2, Class B-2 AAA (sf)--Confirmed
    US
    More
    Less

  • WinWater Mortgage Loan Trust 2015-1

  • WinWater Mortgage Loan Trust 2015-4

  • WinWater Mortgage Loan Trust 2015-5

  • WinWater Mortgage Loan Trust 2016-1

CSMLT 2015-1 Trust
FirstKey Mortgage Trust 2015-1, Mortgage Pass-Through Certificates
Flagstar Mortgage Trust 2019-2
Freddie Mac STACR REMIC Trust 2020-DNA4
Freddie Mac STACR REMIC Trust 2020-DNA5
Freddie Mac STACR Trust 2019-DNA1
J.P. Morgan Mortgage Trust 2020-LTV2
Mello Mortgage Capital Acceptance 2018-MTG1
Structured Agency Credit Risk Debt Notes, Series 2018-DNA2
Structured Agency Credit Risk Debt Notes, Series 2018-HRP2
Structured Agency Credit Risk Debt Notes, Series 2019-DNA3
Structured Agency Credit Risk Debt Notes, Series 2019-HRP1
Wells Fargo Mortgage Backed Securities 2019-1 Trust
WinWater Mortgage Loan Trust 2014-2
WinWater Mortgage Loan Trust 2015-1
WinWater Mortgage Loan Trust 2015-4
WinWater Mortgage Loan Trust 2015-5
WinWater Mortgage Loan Trust 2016-1
  • US = Lead Analyst based in USA
  • CA = Lead Analyst based in Canada
  • EU = Lead Analyst based in EU
  • UK = Lead Analyst based in UK
  • E = EU endorsed
  • U = UK endorsed
  • Unsolicited Participating With Access
  • Unsolicited Participating Without Access
  • Unsolicited Non-participating

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.

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