DBRS Morningstar Takes Rating Actions on 24 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 76 classes from 24 U.S. residential mortgage-backed security (RMBS) transactions. These 24 RMBS transactions are generally classified as mortgage insurance linked-note transactions. Of the 76 classes reviewed, DBRS Morningstar upgraded 50 ratings, confirmed 19 ratings, and discontinued seven 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 full repayment of principal to bondholders.

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

-- Bellemeade Re 2017-1 Ltd., Series 2017-1 Mortgage Insurance-Linked Notes, Class M-2
-- Bellemeade Re 2017-1 Ltd., Series 2017-1 Mortgage Insurance-Linked Notes, Class B-1
-- Bellemeade Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2
-- Bellemeade Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1
-- Bellemeade Re 2018-3 Ltd., Series 2018-3 Mortgage Insurance-Linked Notes, Class M-1B
-- Bellemeade Re 2018-3 Ltd., Series 2018-3 Mortgage Insurance-Linked Notes, Class M-2
-- Bellemeade Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1B
-- Bellemeade Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2
-- Bellemeade Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1
-- Bellemeade Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-1B
-- Bellemeade Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-1C
-- Bellemeade Re 2019-3 Ltd., Series 2019-3 Mortgage Insurance-Linked Notes, Class M-1C
-- Bellemeade Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class M-1C
-- Bellemeade Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class B-1
-- Bellemeade Re 2020-3 Ltd., Mortgage Insurance-Linked Notes, Series 2020-3, Class M-1B
-- Bellemeade Re 2021-2 Ltd., Mortgage Insurance-Linked Notes, Series 2021-2, Class M-1A
-- Eagle Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1
-- Eagle Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2
-- Eagle Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1
-- Eagle Re 2020-2 Ltd., Mortgage Insurance-Linked Notes, Series 2020-2, Class B-1
-- Eagle Re 2021-1 Ltd., Mortgage Insurance-Linked Notes, Series 2021-1, Class M-1A
-- Eagle Re 2021-1 Ltd., Mortgage Insurance-Linked Notes, Series 2021-1, Class M-1B
-- Home Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1
-- Home Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2
-- Home Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1
-- Home Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1
-- Home Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2
-- Home Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1
-- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1
-- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2
-- Oaktown Re II Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1
-- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1A
-- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1B
-- Oaktown Re IV Ltd., Series 2020-1 Mortgage Insurance-Linked Notes, Class M-2
-- Radnor Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-1
-- Radnor Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class M-2
-- Radnor Re 2018-1 Ltd., Series 2018-1 Mortgage Insurance-Linked Notes, Class B-1
-- Radnor Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-1B
-- Radnor Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2
-- Radnor Re 2019-1 Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1
-- Radnor Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-1B
-- Radnor Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class B-1

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its baseline scenario (“Baseline Macroeconomic Scenarios For Rated Sovereigns March 2022 Update,” published on March 24, 2022), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

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

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.

Notes:
The principal methodologies are 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].

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