DBRS, Inc. (DBRS Morningstar) released a commentary titled “Coronavirus Disease Implications for Government-Sponsored Enterprise Credit Risk Transfer Deals.” In this commentary, we identify and illustrate the exposed fundamental and structural risks in benchmark government-sponsored enterprise (GSE) credit risk transfer (CRT) deals caused by the current Coronavirus Disease (COVID-19) crisis.
Topics covered include
-- An outline of coronavirus-related GSE-specific borrower relief options and resulting reference pool implications.
-- An overall U.S. GSE CRT Credit Risk Exposure Mapping that incorporates coronavirus effects.
-- The various structural implications of higher delinquencies and forbearances.
-- A deal-by-deal catalog of modification and credit event features, deal performance tests, and current levels, as well as principal allocation hierarchies.
The commentary is available at www.dbrsmorningstar.com.
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