DBRS Morningstar Takes Rating Actions on 12 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 316 classes from 12 U.S. residential mortgage-backed security (RMBS) transactions. Of the 316 classes reviewed, DBRS Morningstar upgraded 315 ratings and discontinued one rating. These classes were also removed from Under Review with Positive Implications (see the PR titled “DBRS Morningstar Places 12 GSE CRT Transactions Under Review with Positive Implications,” published in November 2019).

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. The discontinued rating reflects a full repayment of principal to the bondholders.

The pools backing these RMBS transactions consist of Fannie and Freddie residential collateral.

The rating actions are a result of DBRS Morningstar’s application of the “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology,” published in December 2019. In this update, DBRS Morningstar implemented a minimum asset correlation in its RMBS Insight model with respect to pools with very high loan counts. In its analysis, DBRS Morningstar used prepayment rates that are consistent with those used in its new rating analysis. Such prepayment rates are slightly more conservative than the 12-month trailing conditional prepayment rates exhibited in the government-sponsored enterprise credit risk transfer (GSE CRT) transactions.

Notes:
The principal methodologies are RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology and 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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