DBRS Morningstar Maintains Ratings of Five European RMBS Transactions Under Review with Negative Implications

DBRS Ratings Limited and DBRS Ratings GmbH (together, DBRS Morningstar) maintained the Under Review with Negative Implications status on 21 tranches across five RMBS European RMBS transactions:

Dublin Bay Securities 2018-MA1 DAC:
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated A (sf)
-- Class E Notes rated BBB (sf)
-- Class F Notes rated B (high) (sf)
-- Class Z1 Notes rated B (low) (sf)

European Residential Loan Securitisation 2019-PL1 DAC:
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class F Notes rated B (high) (sf)

Miravet 2019-1:
-- Class B Notes rated A (high) (sf)
-- Class C Notes rated BBB (high) (sf)
-- Class D Notes rated BB (high) (sf)
-- Class E Notes rated BB (sf)

Mulcair Securities DAC:
-- Class B Notes rated AA (sf)
-- Class C Notes rated A (high) (sf)
-- Class D Notes rated BBB (high) (sf)
-- Class E Notes rated BBB (low) (sf)

Rochester Financing No.2 Plc:
-- Class D Notes rated A (sf)
-- Class E Notes rated BBB (low) (sf)
-- Class F Notes rated BB (sf)

DBRS Morningstar also rates several tranches issued in the context of these transactions that it did not place Under Review with Negative Implications. DBRS Morningstar considers the senior tranches, typically rated in the AAA (sf) or AA (sf) ranges, to be generally less affected as a result of the adjustments applied in DBRS Morningstar’s analysis based on the current economic environment, DBRS Morningstar’s moderate macroeconomic scenarios as of 10 September 2020 (see https://www.dbrsmorningstar.com/research/366542/global-macroeconomic-scenarios-september-update), and an assessment of sustainable performance as a consequence of the Coronavirus Disease (COVID-19) pandemic.

KEY RATING DRIVERS AND CONSIDERATIONS
On 5 May 2020, DBRS Morningstar released its commentary “European RMBS Transactions’ Risk Exposure to Coronavirus (COVID-19) Effect” (https://www.dbrsmorningstar.com/research/360599/european-rmbs-transactions-risk-exposure-to-coronavirus-covid-19-effect) where DBRS Morningstar discussed the overall risk exposure of the RMBS sector to the coronavirus and provided a framework for identifying the transactions that are more at risk and likely to be affected by the fallout of the pandemic on the economy. The primary conclusion is that in the short term, mortgage payment holidays can lead to reduced cash flows, while longer-term credit effects may include higher levels of delinquencies, defaults, and losses. Considering the framework, the aforementioned tranches placed Under Review with Negative Implications are generally those secured by asset pools with high levels of restructured loans, reperforming loans or past delinquencies, refinancing risk exposure, or high concentrations of self-employed borrowers.

As the full impact on transactions performance has yet to be ascertained, DBRS Morningstar has maintained the under review period to allow further time for observation before resolving the status of the affected ratings for these transactions. The ratings were placed Under Review with Negative Implications on 24 June 2020. Please refer to https://www.dbrsmorningstar.com/research/362940/dbrs-morningstar-places-56-ratings-of-17-european-rmbs-transactions-under-review-with-negative-implications for more information.

DBRS Morningstar typically endeavours to resolve the status of ratings Under Review with Negative Implications as soon as appropriate. If heightened market uncertainty and volatility persist, DBRS Morningstar may extend the Under Review status for a longer period of time.

On 16 April 2020, the DBRS Morningstar Sovereign group released a set of macroeconomic scenarios for the 2020-22 period in select economies. These scenarios were last updated on 10 September 2020. For details, see the following commentaries: https://www.dbrsmorningstar.com/research/366542/global-macroeconomic-scenarios-september-update and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings. The DBRS Morningstar analysis considered impacts consistent with the moderate scenario in the referenced reports.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

ESG CONSIDERATIONS

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

Notes:
All figures are in euros or British pound sterling unless otherwise noted.

The principal methodology applicable to the ratings is: “Master European Structured Finance Surveillance Methodology” (22 April 2020).

DBRS Morningstar is undertaking a review and will remove the ratings from this status as soon as it is appropriate.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action for each transaction.

Other methodologies referenced in these transactions are listed at the end of this press release.

These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Morningstar Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/364527/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include performance data provided in the most recent investor, servicer and/or trustee reports, and loan by loan information for each transaction provided by the issuer or its agents, or the European Datawarehouse GmbH.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial rating, DBRS Morningstar was supplied with one or more third-party assessments for all the transactions listed below. However, this did not impact the rating analysis in any case.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The lead analyst, committee chair, initial rating date, and last rating action date for each transaction is listed at the end of this press release.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

Ratings are Under Review with the Negative Implications designation. Generally, the conditions that lead to the assignment of reviews are resolved within a 90-day period. If heightened market uncertainty and volatility persist, DBRS Morningstar may extend the Under Review status for a longer period of time. Sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml

Ratings assigned by DBRS Ratings Limited and DBRS Ratings GmbH are subject to EU and U.S. regulations only.

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor,
London EC3M 3BY United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

DBRS Ratings GmbH
Neue Mainzer Straße 75
60311 Frankfurt am Main Deutschland
Tel. +49 (69) 8088 3500
Geschäftsführer: Detlef Scholz
Amtsgericht Frankfurt am Main, HRB 110259

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

-- Master European Structured Finance Surveillance Methodology (22 April 2020), https://www.dbrsmorningstar.com/research/359884/master-european-structured-finance-surveillance-methodology.
-- Legal Criteria for European Structured Finance Transactions (11 September 2019), https://www.dbrsmorningstar.com/research/350234/legal-criteria-for-european-structured-finance-transactions.
-- Derivative Criteria for European Structured Finance Transactions (25 September 2020),
https://www.dbrsmorningstar.com/research/367092/derivative-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020), https://www.dbrsmorningstar.com/research/357429/operational-risk-assessment-for-european-structured-finance-servicers.
-- European RMBS Insight Methodology (2 April 2020) and European RMBS Insight Model 4.3.1.0, https://www.dbrsmorningstar.com/research/359192/european-rmbs-insight-methodology.
-- European RMBS Insight: U.K. Addendum (8 November 2019),
https://www.dbrsmorningstar.com/research/352573/european-rmbs-insight-uk-addendum
-- Master European Residential Mortgage-Backed Securities Rating Methodology and Jurisdictional Addenda (21 September 2020) and European RMBS Credit Model v1.0.0.0,
https://www.dbrsmorningstar.com/research/366958/master-european-residential-mortgage-backed-securities-rating-methodology-and-jurisdictional-addenda.
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019), https://www.dbrsmorningstar.com/research/351557/interest-rate-stresses-for-european-structured-finance-transactions.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrsmorningstar.com/research/278375

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.

DBRS Ratings Limited:
Mulcair Securities DAC:
Lead Analyst: Clare Wootton, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 28 March 2019
Last Rating Action Date: 24 June 2020

Rochester Financing No.2 Plc:
Lead Analyst: Natalia Coman, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 26 February 2016
Last Rating Action Date: 24 June 2020

DBRS Ratings GmbH:
Dublin Bay Securities 2018-MA1 DAC:
Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 22 October 2018
Last Rating Action Date: 24 June 2020

European Residential Loan Securitisation 2019-PL1 DAC:
Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 25 September 2019
Last Rating Action Date: 24 June 2020

Miravet 2019-1:
Lead Analyst: Shalva Beshia, Assistant Vice President
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 14 November 2019
Last Rating Action Date: 24 June 2020

On 25 September 2020, DBRS Morningstar amended the rating table of this press release as 11 tranches across five transactions were inadvertently place Under Review with Negative Implications including Class A1, Class A2A, Class A2B, Class B, and Class S for Dublin Bay Securities 2018-MA1-DAC; Class A for European Residential Loan Securitisation 2019-PL1 DAC; Class A for Miravet 2019-1; Class A for Mulcair Securities DAC; and Class A, Class B, and Class C for Rochester Financing No.2 Plc.