Press Release
Morningstar DBRS Discontinues Credit Ratings on Nine U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 39 classes from nine U.S. residential mortgage-backed securities (RMBS) transactions. Out of the nine transactions, two are classified as RMBS, two are classified as Mortgage Insurance, one is classified as Reperforming, one is classified as Non-QM, one is classified as Prime, one is classified as Agency Credit, and one is classified as Single-Family Rental. Morningstar DBRS discontinued its credit ratings on all of the 39 classes that it reviewed.
The discontinued credit ratings reflect the full repayment of principal to the bondholders.
The transaction assumptions consider Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies, available in its commentary "Baseline Macroeconomic Scenarios for Rated Sovereigns: March 2024 Update," published on March 27, 2024 (https://dbrs.morningstar.com/research/430189). These baseline macroeconomic scenarios replace Morningstar DBRS' moderate and adverse Coronavirus Disease (COVID-19) 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.
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 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.
Morningstar DBRS 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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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 (April 15, 2024),
https://dbrs.morningstar.com/research/431205
For more information on these credits or on this industry, visit http://dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.
Ratings
American Homes 4 Rent 2014-SFR2 Trust
Bellemeade Re 2019-1 Ltd.
Eagle Re 2020-1 Ltd.
J.P. Morgan Mortgage Trust 2013-3 Mortgage Pass-Through Certificates, Series 2013-3
Lehman Mortgage Trust 2008-6
Mill City Mortgage Loan Trust 2017-2
New Century Home Equity Loan Trust 2005-4
Spruce Hill Mortgage Loan Trust 2020-SH1
Structured Agency Credit Risk Debt Notes, Series 2019-HRP1
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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