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

DBRS, Inc. (DBRS Morningstar) reviewed 136 classes from 47 U.S. residential mortgage-backed security (RMBS) transactions. Of the 136 classes reviewed, DBRS Morningstar upgraded 50 ratings, confirmed 80 ratings, downgraded and withdrew five ratings, and discontinued one rating.

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 The downgraded and subsequently withdrawn ratings reflect the unlikely recovery of the bonds’ principal loss amount. The discontinued ratings reflect the full repayment of principal to bondholders.

The pools backing the reviewed RMBS transactions consist of ReRemic, second lien, and subprime collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences to be material deviations; however, in this case, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade.

-- 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
-- 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
-- BCAP LLC 2015-RR6 Trust, Resecuritization Trust Securities, Class 1A2
-- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 3A2
-- Citigroup Mortgage Loan Trust 2014-10, Resecuritization Trust Securities, Series 2014-10, Class 4A3
-- Citigroup Mortgage Loan Trust 2015-2, Resecuritization Trust Securities, Series 2015-2, Class 4A1
-- 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
-- J.P. Morgan Resecuritization Trust, Series 2015-1, Series 2015-1 Trust Certificates, Class 3-A-2
-- 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

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 forbear 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, 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 baseline scenario (“Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 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.

The DBRS Morningstar Sovereign group release baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenario-application-to-credit-ratings.

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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