DBRS Morningstar Takes Rating Actions on 59 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 776 classes from 59 U.S. residential mortgage-backed security (RMBS) transactions. Of the 776 classes reviewed, DBRS Morningstar upgraded eight ratings, confirmed 754 ratings, and discontinued 14 ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The rating confirmations reflect asset performance and credit-support levels that are consistent with the current ratings. The discontinued ratings reflect the transactions exercising their cleanup call option or the full repayment of principal to bondholders.

The rating actions are a result of DBRS Morningstar’s application of the “U.S. RMBS Surveillance Methodology” published in February 2020.

The pools backing these RMBS transactions consist of prime, manufactured housing, second lien, and ReREMIC collateral.

The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS Morningstar considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect either additional seasoning being warranted to substantiate a further upgrade, or actual deal or tranche performance not being fully reflected in the projected cash flows/model output.

-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Agate Bay Mortgage Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J1, Mortgage Pass Through Certificates, Series 2014-J1, Class B-4
-- Citigroup Mortgage Loan Trust 2014-J2, Mortgage Pass Through Certificates, Series 2014-J2, Class B-4
-- CSMC Trust 2013-6, Mortgage Pass-Through Certificates, Series 2013-6, Class B-4
-- CSMC Trust 2014-WIN1, Mortgage Pass-Through Certificates, Series 2014-WIN1, Class B-4
-- CSMC 2017-HL1 Trust, Mortgage Pass-Through Certificates, Series 2017-HL1, Class B-2
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-2
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-3
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-4
-- Flagstar Mortgage Trust 2017-1, Mortgage Pass-Through Certificates, Series 2017-1, Class B-5
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-2
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-3
-- Flagstar Mortgage Trust 2018-4, Mortgage Pass-Through Certificates, Series 2018-4, Class B-4
-- J.P. Morgan Mortgage Trust 2019-3, Mortgage Pass-Through Certificates, Series 2019-3, Cl B-2
-- J.P. Morgan Mortgage Trust 2019-3, Mortgage Pass-Through Certificates, Series 2019-3, Cl B-5
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Onslow Bay Mortgage Loan Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-2
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-3
-- PSMC 2018-2 Trust, Mortgage Pass-Through Certificates, Series 2018-2, Class B-4
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-3
-- Shellpoint Asset Funding Trust 2013-1, Mortgage Pass-Through Certificates, Series 2013-1, Class B-4
-- APS Resecuritization Trust 2015-3, REMIC Notes, Series 2015-3, Class 1-A
-- Deutsche ALT-A Securities, Inc. Re-REMIC Trust, Series 2007-RS1, Re-REMIC Trust Certificates, Series 2007-1, Class A-3
-- Deutsche Mortgage Securities, Inc. REMIC Trust, Series 2008-RS1, REMIC Trust Certificates, Series 2008-RS1, Class 1-A-1
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 1-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 2-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 3-A2
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 4-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 5-A3
-- Jefferies Resecuritization Trust 2009-R4, Resecuritization Trust Certificates 2009-R4, Class 6-A2
-- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-2
-- J.P. Morgan Resecuritization Trust, Series 2010-1, Series 2010-1 Trust Certificates, Class 2-A-5
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 1-A2
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A1
-- Morgan Stanley Resecuritization Trust 2015-R2, Resecuritization Pass-Through Securities, Series 2015-R2, Class 2-A2
-- Nomura Resecuritization Trust 2015-5R, Resecuritization Trust Securities, Series 2015-5R, Class 4A1
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class A3
-- Financial Asset Securities Corp. AAA Trust 2005-2, Series 2005-2, Class II-X
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class M-2
-- C-BASS 2006-MH1 Trust, C-BASS Mortgage Loan Asset-Backed Certificates, Series 2006-MH1, Class B-1

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
The principal methodologies are the U.S. RMBS Surveillance Methodology and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrsmorningstar.com under Methodologies & Criteria.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

The rated entity or its related entities did not participate in the rating process for this rating action. DBRS Morningstar did not have access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on this credit or on this industry, visit https://www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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