DBRS Takes Rating Actions on Eight U.S. RMBS Transactions

DBRS, Inc. (DBRS) reviewed 149 classes from eight U.S. residential mortgage-backed security (RMBS) transactions. Of the 149 classes reviewed, DBRS upgraded 40 ratings, confirmed 105 ratings and discontinued four ratings.

The rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new rating levels. For transactions where the ratings have been confirmed, current asset performance and credit-support levels 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’s application of the “RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology” published in September 2018.

The pools backing these RMBS transactions consist of prime and agency credit collateral.

The ratings assigned to the securities below differ from the ratings implied by the quantitative model. DBRS considers this difference to be a material deviation, but in this case, the ratings of the subject notes reflect a dependency on another tranche’s ratings as well as structural features and/or historical performance that constrain the quantitative model output.

-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B3
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B4
-- SoFi Mortgage Trust Series 2016-1, Mortgage Pass-Through Certificates, Series 2016-1, Class B5
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class M-3
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class M-3F
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class M-3I
-- Freddie Mac, Structured Agency Credit Risk Debt Notes, Series 2015-DN1, Class MA

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodologies are 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 dbrs.com under Methodologies.

The rated entity or its related entities did not participate in the rating process for this rating action. DBRS 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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