DBRS Morningstar Takes Rating Actions on 30 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 228 classes from 30 U.S. residential mortgage-backed security (RMBS) transactions. Of the 228 classes reviewed, DBRS Morningstar upgraded 40 ratings, confirmed 132 ratings, discontinued 51 ratings, and maintained Under Review with Negative Implications statuses for five 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 transactions exercising their cleanup call option or the full repayment of principal to bondholders. The Under Review with Negative Implications statuses reflect the potential negative impact of the Coronavirus Disease (COVID-19) pandemic on the bonds.

The pools backing the reviewed RMBS transactions consist of mortgage insurance-linked notes, prime jumbo, alt-A, reperforming, and ReRemic collateral.

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

-- Eagle Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class M-2C
-- Eagle Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1B
-- Eagle Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2
-- Eagle Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-1A
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-1B
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2C
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class B-1
-- Radnor Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-1A
-- Radnor Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-1B
-- Radnor Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2B

CORONAVIRUS IMPACT
The coronavirus pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in the delinquencies for many RMBS asset classes.

Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forebear mortgage payments was widely available, driving forbearances to an elevated level. Across nearly all RMBS asset classes in recent months delinquencies have been gradually trending downward as forbearance periods come to an end for many borrowers.

In connection with the economic stress assumed under its baseline scenario (“Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

ESG CONSIDERATIONS
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/373262.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

Notes:
The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), 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 [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277