DBRS Morningstar Takes Rating Actions on 57 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 439 classes from 57 U.S. residential mortgage-backed security (RMBS) transactions. Of the 439 classes reviewed, DBRS Morningstar upgraded three ratings, confirmed 339 ratings and discontinued 97 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 are the result of 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 September 2018.

The pools backing these RMBS transactions consist of prime, non–qualified mortgage, agency credit, subprime, reperforming and resecuritization of real estate mortgage investment conduit 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 additional seasoning being warranted to substantiate a further upgrade or actual deal or tranche performance not being fully reflected in the projected cash flows or model output.

-- Agate Bay Mortgage Trust 2014-2, Mortgage Pass-Through Certificates, Series 2014-2, Class B-4
-- Agate Bay Mortgage Trust 2015-3, Mortgage Pass-Through Certificates, Series 2015-3, Class B-2
-- CSMC Trust 2014-OAK1, Mortgage Pass-Through Certificates, Series 2014-OAK1, Class B-3
-- CSMC Trust 2014-OAK1, Mortgage Pass-Through Certificates, Series 2014-OAK1, Class B-4
-- CSMLT 2015-2 Trust, Mortgage Pass-Through Certificates, Series 2015-2, Class A-IO-S
-- J.P. Morgan Mortgage Trust 2014-OAK4, Mortgage Pass-Through Certificates, Series 2014-OAK4, Class B-4
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-3
-- Shellpoint Co-Originator Trust 2015-1, Mortgage Pass-Through Certificates, Series 2015-1, Class B-4
-- Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, Mortgage Pass-Through Certificates, Series 2005-AR3, Class B-1
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-4
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-5
-- LVII Resecuritization Trust 2009-1, Mortgage Resecuritization Notes, Series 2009-1, Class M-6

Notes:
The principal methodology is the U.S. RMBS Surveillance Methodology, which can be found on dbrs.com under Methodologies & Criteria.

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.

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