DBRS Morningstar Takes Rating Actions on 19 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 92 classes from 19 U.S. residential mortgage-backed securities (RMBS) transactions. Out of the 19 transactions, 18 are generally classified as mortgage insurance linked-note transactions and one is classified as an agency credit risk transfer transaction. Of the 92 classes reviewed, DBRS Morningstar upgraded 39 ratings, confirmed 50 ratings, and discontinued three 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 B-1
-- 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-2
-- Bellemeade Re 2018-3 Ltd., Series 2018-3 Mortgage Insurance-Linked Notes, Class B-1
-- 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-1C
-- Bellemeade Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class M-2
-- Bellemeade Re 2019-2 Ltd., Series 2019-2 Mortgage Insurance-Linked Notes, Class B-1
-- Bellemeade Re 2019-3 Ltd., Series 2019-3 Mortgage Insurance-Linked Notes, Class M-1C
-- Bellemeade Re 2019-3 Ltd., Series 2019-3 Mortgage Insurance-Linked Notes, Class B-1
-- Bellemeade Re 2021-1 Ltd., Mortgage Insurance-Linked Notes, Series 2021-1, Class M-1B
-- 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 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-1B
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-1C
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2A
-- Eagle Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2B
-- 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
-- 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-1B
-- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class M-2
-- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1A
-- Oaktown Re III Ltd., Series 2019-1 Mortgage Insurance-Linked Notes, Class B-1B
-- 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 B-1
-- 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-1C
-- Radnor Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2A
-- Radnor Re 2020-1 Ltd., Mortgage Insurance-Linked Notes, Series 2020-1, Class M-2B

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022 (https://www.dbrsmorningstar.com/research/407678). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

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

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

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/396929 (May 17, 2022).

Notes:
The principal methodology applicable to the ratings is the U.S. RMBS Surveillance Methodology (February 21, 2020; https://www.dbrsmorningstar.com/research/357249).

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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.

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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020)
https://www.dbrsmorningstar.com/research/359116

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022)
https://www.dbrsmorningstar.com/research/402153

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