Press Release
DBRS Morningstar Discontinues Ratings on 11 U.S. RMBS Transactions
RMBSDBRS, Inc. (DBRS Morningstar) reviewed 20 classes from 11 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 11 transactions, one transaction is generally classified as ReREMIC, six transactions are generally classified as RMBS, two transactions are Qualified Mortgage, and two transactions are Mortgage Insurance-linked Notes. Of the 20 classes reviewed, DBRS Morningstar discontinued all 20 ratings.
The discontinued ratings reflect the full repayment of principal to bondholders.
The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update,” published on June 30, 2023 (https://www.dbrsmorningstar.com/research/416703). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.
The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.
ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.
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/416784 (July 4, 2023).
Notes:
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023), https://www.dbrsmorningstar.com/research/410498.
Other methodologies referenced in these transactions are listed at the end of this press release.
The DBRS Morningstar Sovereign group releases 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.
The credit rating was initiated at the request of the rated entity.
The rated entity or its related entities did participate in the credit rating process for this credit rating action.
DBRS Morningstar had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.
This is a solicited credit rating.
DBRS, Inc.
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Tel. +1 212 806-3277
The credit rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.
RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023), https://www.dbrsmorningstar.com/research/410473
Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023), https://www.dbrsmorningstar.com/research/415687
Legal Criteria for U.S. Structured Finance (December 7, 2022), https://www.dbrsmorningstar.com/research/407008
For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Ratings
Citigroup Mortgage Loan Trust 2015-11
Credit Suisse First Boston Mortgage Securities Corp. Home Equity Mortgage Trust 2006-3
Eagle Re 2020-1 Ltd.
Flagstar Mortgage Trust 2019-2
Home Equity Mortgage Trust 2006-5
Home Equity Mortgage Trust Series 2006-4
J.P. Morgan Mortgage Trust 2018-3
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE1
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, Series 2006-HE2
Oaktown Re II Ltd.
Structured Asset Securities Corporation Mortgage Loan Trust 2007-BC1
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Related Documents
Methodology Used:
Contacts
Cathlene H. Hyun
Senior Vice President - US RMBS Ratings, Surveillance
+(1) 212 806 3247
cathlene.hyun@morningstar.com- Jan Buckler
Senior Vice President, Sector Lead - Global Structured Finance Ratings
+(1) 212 806 3925
jan.buckler@morningstar.com - Claire Mezzanotte
Group Managing Director, Global Head of Structured Finance Ratings - Credit Ratings Leadership
+(1) 212 806 3272
claire.mezzanotte@morningstar.com