Press Release
Morningstar DBRS Discontinues Credit Ratings on Twelve U.S. RMBS Transactions
RMBSDBRS, Inc. (Morningstar DBRS) reviewed its credit ratings on 53 classes from twelve U.S. residential mortgage-backed securities (RMBS) transactions. Out of the twelve transactions, six are classified as legacy RMBS, one is classified as Mortgage Insurance-Linked Notes, one is classified as Reperforming, one is classified as Agency Credit, one is classified as Qualified Mortgage, one is classified as ReREMIC of legacy RMBS, and one is classified as Synthetic of legacy RMBS. Morningstar DBRS discontinued its credit ratings on all 53 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 June 2024 Update" published on June 28, 2024, (https://dbrs.morningstar.com/research/435206/baseline-macroeconomic-scenarios-for-rated-sovereigns-june-2024-update) 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 June 28, 2024.
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 (January 23, 2024), https://dbrs.morningstar.com/research/427030/morningstar-dbrs-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings.
Notes:
The principal methodologies applicable to the credit ratings are U.S. RMBS Surveillance Methodology (June 28, 2024) https://dbrs.morningstar.com/research/435291/us-rmbs-surveillance-methodology.
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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Tel. +1 212 806-3277
The credit rating methodologies used in the analysis of these transactions can be found at: https://www.dbrsmorningstar.com/about/methodologies.
--RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (June 28, 2024; https://dbrs.morningstar.com/research/435279/rmbs-insight-13-us-residential-mortgage-backed-securities-model-and-rating-methodology)
-- 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
Accredited Mortgage Loan Trust 2005-1
Ameriquest Mortgage Securities Inc. Series 2004-R11
Asset Backed Securities Corporation Home Equity Loan Trust, Series NC 2006-HE2
Bellemeade Re 2021-3 Ltd.
C-BASS 2005-CB5 Trust
CIM Trust 2020-J1
Citigroup Mortgage Loan Trust, Inc., Series 2005-WF1
Fannie Mae
J.P. Morgan Mortgage Trust 2005-A4
Morgan Stanley Resecuritization Trust 2015-R2
RESI Finance Limited Partnership 2005-A & RESI Finance DE Corporation 2005-A
Towd Point Mortgage Trust 2015-2
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.
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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