Press Release
Morningstar DBRS Takes Credit Rating Actions on 14 U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 78 classes from 14 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 14 transactions reviewed, seven are classified as synthetic RMBS, one is legacy subprime RMBS, and six are ReREMICs of legacy RMBS backed by prime, Alt-A, or option adjustable-rate mortgage collateral. Of the 78 classes reviewed, Morningstar DBRS upgraded its credit rating on one class and confirmed its credit ratings on 77 classes.
The credit rating upgrade reflects a positive performance trend and an increase 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 transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2023 Update,” published on December 19, 2023 (https://dbrs.morningstar.com/research/425506). These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.
The credit rating actions are the result of Morningstar DBRS’ application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.
Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt credit rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.
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 Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at https://dbrs.morningstar.com/research/427030 (January 23, 2024).
Notes:
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.com/research/410498.
Other methodologies referenced in these transactions are listed at the end of this press release.
The credit rating assigned to the class below materially deviates from the credit rating implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit rating 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 rating. The rationale for the material deviation of the below tranche is actual deal or tranche performance is not fully reflected in projected cashflows / model output.
-- C-BASS 2004-CB4 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2004-CB4, Class M-1
The credit ratings were initiated at the request of the rated entity.
The rated entity or its related entities did participate in the credit rating process for these credit rating actions.
Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.
These are solicited credit ratings.
DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277
The credit rating methodologies used in the analysis of these transactions can be found at: https://dbrs.morningstar.com/about/methodologies.
-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023), https://dbrs.morningstar.com/research/420108
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081
For more information on these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.
Ratings
BCAP LLC 2008-RR2 Trust
C-BASS 2004-CB4 Trust
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS2
Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS3
J.P. Morgan Resecuritization Trust, Series 2010-1
Morgan Stanley Resecuritization Trust 2015-R2
RESI Finance Limited Partnership 2003-B & RESI Finance DE Corporation 2003-B
RESI Finance Limited Partnership 2003-C & RESI Finance DE Corporation 2003-C
RESI Finance Limited Partnership 2003-D & RESI Finance DE Corporation 2003-D
RESI Finance Limited Partnership 2004-A & RESI Finance DE Corporation 2004-A
RESI Finance Limited Partnership 2004-B & RESI Finance DE Corporation 2004-B
RESI Finance Limited Partnership 2004-C & RESI Finance DE Corporation 2004-C
RESI Finance Limited Partnership 2005-B & RESI Finance DE Corporation 2005-B
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.
Download This Press Release
Related Documents
Methodology Used:
Other:
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