DBRS Assigns Provisional Ratings to MetLife Securitization Trust 2018-1

DBRS, Inc. (DBRS) assigned provisional ratings to the following Residential Mortgage-Backed Securities, Series 2018-1 (the Securities) to be issued by MetLife Securitization Trust 2018-1:

-- $398.4 million Class A at AAA (sf)
-- $27.4 million Class M1 at AA (sf)
-- $21.2 million Class M2 at A (sf)
-- $18.4 million Class M3 at BBB (sf)
-- $11.5 million Class B1 at BB (sf)
-- $8.0 million Class B2 at B (sf)

The AAA (sf) rating on the notes reflect the 20.00% of credit enhancement provided by subordinated Securities in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect credit enhancement of 14.50%, 10.25%, 6.55%, 4.25% and 2.65%, respectively.

Other than the specified classes above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Securities are backed by 1,909 loans with a total principal balance of $497,952,777 as of the Cut-Off Date (July 31, 2018).

The portfolio is approximately 143 months seasoned, and of the loans, 91.5% are modified. Within the pool, 509 mortgages have non-interest-bearing deferred amounts, which equate to 5.6% of the total principal balance.

All of the loans were current as of the Cut-Off Date, and all of the loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method. Additionally, 95.0% of the loans have been 0 x 30 for at least the past 36 months under the MBA delinquency method. None of the loans are subject to the Consumer Financial Protection Bureau’s Qualified Mortgage rules.

Prior to the Closing Date, Metropolitan Life Insurance Company (MetLife), in its capacity as the Sponsor and as the Seller, acquired the loans from various unaffiliated third-party sellers. As the Sponsor, MetLife and/or more majority-owned affiliates of the Sponsor will collectively acquire and retain a 5% eligible vertical interest in each class of Securities to be issued (other than the Class R certificates) to satisfy credit risk retention requirements.

As of the Closing Date, the loans will be serviced by Bayview Loan Servicing, LLC.

There will not be any advancing of delinquent principal or interest on any mortgages by the Servicer or any other party to the transaction; however, the Servicer is obligated to make advances in respect of homeowner association fees, taxes and insurance, installment payments on energy-improvement liens and reasonable costs and expenses incurred in the course of servicing and disposing of properties.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Securities, but such shortfalls on Class M2 and more subordinate bonds will not be paid until the more senior classes are retired.

The ratings reflect transactional strengths that include underlying assets that generally performed well through the crisis and an experienced Servicer. Additionally, a satisfactory third-party due diligence review was performed on the portfolio with respect to regulatory compliance, payment history and data capture as well as title and tax review. Updated broker price opinions or exterior appraisals were provided for 100.0% of the pool; however, a reconciliation was not performed on the updated values.

The transaction employs a representations and warranties (R&Ws) framework that includes a trigger review event that may result in potential breaches of R&Ws being reviewed at a much later date, certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) a financially strong counterparty, MetLife, which is providing mortgage loan R&Ws for the life of the transaction; (2) significant loan seasoning and clean performance history in recent years; (3) a comprehensive due diligence review; (4) a relatively strong R&W enforcement mechanism, including directing noteholder review and binding arbitration; and (5) for R&Ws with knowledge qualifiers, even if the Seller did not have actual knowledge of the breach, the Seller is still required to remedy the breach in the same manner as if no knowledge qualifier had been made.

The DBRS ratings of AAA (sf) and AA (sf) address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related notes and certificates.

The full description of the strengths, challenges and mitigating factors is detailed in the related presale report.

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

The principal methodologies are RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions, Operational Risk Assessment for U.S. RMBS Originators, Operational Risk Assessment for U.S. RMBS Servicers and Legal Criteria for U.S. Structured Finance, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents or by contacting us at info@dbrs.com.