DBRS Morningstar Takes Rating Actions on 47 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 353 classes from 47 U.S. resecuritized real estate mortgage investment conduit (ReREMIC) and residential mortgage-backed security (RMBS) transactions. Of the 353 classes reviewed, DBRS Morningstar upgraded 10 ratings, confirmed 326 ratings, and discontinued 17 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 full repayment of principal to bondholders.

The pools backing the reviewed ReREMIC and RMBS transactions consist of legacy prime, subprime, option adjustable-rate mortgage, Scratch & Dent, Alt-A, ReREMIC, and prime jumbo collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output.

-- 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 2009-5, Resecuritization Trust Certificates, Series 2009-5, Class 3A2
-- 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
-- CSMC Trust 2013-6, Mortgage Pass-Through Certificates, Series 2013-6, Class B-4
-- CSMC Trust 2013-7, Mortgage Pass-Through Certificates, Series 2013-7, Class B-4
-- CSMC Trust 2013-HYB1, Mortgage Pass-through Certificates, Series 2013-HYB1, Class B-4
-- CSMC Trust 2013-IVR1 Mortgage Pass-Through Certificates, Series 2013-IVR1, Class B-4
-- CSMC Trust 2013-IVR2, Mortgage Pass-through Certificates, Series 2013-IVR2, Class B-4
-- CSMC Trust 2013-IVR3, Mortgage Pass-through Certificates, Series 2013-IVR3, Class B-4
-- CSMC Trust 2013-IVR5, Mortgage Pass-Through Certificates, Series 2013-IVR5, Class B-4
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B2
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B3
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B4
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B5
-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage Pass-Through Certificates, Series 2018-1, Class B-3
-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage Pass-Through Certificates, Series 2018-1, Class B-4

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 2022 Update,” published on September 19, 2022 (https://www.dbrsmorningstar.com/research/402907). 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 rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

ENVIRONMENTAL, SOCIAL, 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/396929 (May 17, 2022).

Notes:
The principal methodology is the U.S. RMBS Surveillance Methodology (February 21, 2020; https://www.dbrsmorningstar.com/research/357249), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

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/baseline-macroeconomic-scenarios-application-to-credit-ratings.

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had 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 these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

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