DBRS Morningstar Takes Credit Rating Actions on 20 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 71 classes from 20 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 71 classes reviewed, DBRS Morningstar upgraded one credit rating and confirmed 70 credit ratings.

The credit rating upgrade reflects positive performance trends and increases in credit support sufficient to withstand stresses at the new credit rating level. The credit rating confirmations reflect asset performance and credit-support levels that are consistent with the current credit ratings.

The RMBS transactions reviewed are ReREMICs backed by pools of prime, Alt-A, subprime, and option adjustable-rate mortgage collateral.

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: September 2023 Update,” published on September 28, 2023 (https://www.dbrsmorningstar.com/research/421227). 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 credit rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.

ENVIRONMENTAL, SOCIAL, AND 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 credit ratings assigned to the classes below materially deviate from the credit ratings implied by the predictive model. DBRS Morningstar typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings.

The below material deviations are due to a small loan count:

-- 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
-- Citigroup Mortgage Loan Trust 2009-10, Resecuritization Trust Certificates, Series 2009-10, Class 3A2
-- Morgan Stanley Resecuritization Trust 2015-R3, Resecuritization Pass-Through Securities, Series 2015-R3, Class 9-A2

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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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 (August 31, 2023; https://www.dbrsmorningstar.com/research/420108/)

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 [email protected].