Other than the categories noted above, DBRS Morningstar does not rate any other category in this transaction.
After the related pre-sale report was released, there were loans with minimum balance updates. The notes are backed by 1,141 mortgage loans with a total principal balance of
The main initiator of the mortgage pool is
Although the mortgages were made to satisfy the
The Sponsor, directly or indirectly through a majority-owned subsidiary, will retain an eligible vertical interest, representing at least 5% of the Securities to meet the credit risk retention requirements under Section 15G of the Securities Exchange. Act of 1934 and regulations promulgated below.
On or after the earliest of the following dates: (1) the payment date occurring in
The director and
This transaction incorporates a sequential payment cash flow structure with a pro rata between the senior tranches. Principal proceeds can be used to cover missing interest on Class A-1 and A-2 Notes Sequentially (IIPP) after a trigger event. For more subordinated Notes, the principal proceeds can be used to cover interest deficits as the higher ranking Notes are paid in full. In addition, excess margin can be used to cover realized losses and depreciation amounts of bonds from the previous period before being allocated to the unpaid limit carry forward amounts from class A-1 to class B-. 2.
About 36.8% of loans were taken out under a debt service coverage ratio program of real estate investor loans and 5.1% were taken out under an investor loan program focused on real estate. Both programs allow borrowers to benefit from cash flow / rental income to qualify borrowers as income.
Impact of the coronavirus
The coronavirus disease (COVID-19) pandemic and the resulting isolation measures caused an immediate economic contraction, leading to sharp increases in unemployment rates and cuts in income for many consumers. Shortly after the start of the pandemic, DBRS Morningstar saw an increase in defaults for many asset classes of Residential Mortgage Backed Securities (RMBS).
These mortgage defaults were mostly in the form of withholdings, which are typically periods of short-term payment relief that can work very differently from traditional defaults. At the start of the pandemic, the ability to defer mortgage payments was widely available, which pushed abstentions to a high level. When the dust settled, loans with coronavirus-induced tolerance in 2020 performed better than expected, thanks to government assistance, low loan-to-value ratios and acceptable underwriting in the mortgage market in general. Over the past few months, in almost all RMBS asset classes, defaults have gradually trended downward, as forbearance periods end for many borrowers.
As of the deadline, no loans are subject to an active coronavirus-related forbearance plan with the duty officer.
For more information on rating methodologies and the coronavirus, please see the following DBRS Morningstar press releases and comments: “DBRS Morningstar Provides Update on Rating Methodologies in Light of Measures to Contain Coronavirus Disease (COVID-19), »Dated
Ratings reflect transactional strengths which include the following:
Robust loan attributes and pool composition.
Satisfactory third party due diligence review.
Improved underwriting standards.
The transaction also includes the following challenges:
Non-prime, non-QM and investor loans.
The framework of representations and guarantees.
Three-month advances of overdue P&I.
The full description of the strengths, challenges and mitigating factors is detailed in the related presales report.
A description of how DBRS Morningstar views 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.
All figures are in
The main methodology is RMBS Insight 1.3:
For more information on rating methodologies and coronavirus disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.
For more information on structured finance rating methodologies and coronavirus disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
The rated entity or its related entities participated in the rating process for this rating action. DBRS Morningstar has had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
Please see the related appendix for more information on the sensitivity of the assumptions used in the rating process.
The full report providing additional analytical details is available by clicking on the link under Related Documents below or by contacting us at [email protected]
For more information on this credit or industry, visit www.dbrsmorningstar.com or contact us at [email protected]
Phone. +1 212 806-3277
* Description and disclosure of mortgage loan guarantees in this report reflects approximate aggregate characteristics as of the deadline, unless otherwise noted.
Date Issued Debt Rated Action Rating Trend Attributesi
United States = Principal Analyst based in the United States
CA = Lead Analyst based at
EU = Lead Analyst based in the EU
E = EU approved
Unsolicited participation with access
Unsolicited participation without access
23-Sep-21Mortgage-Backed Notes, Series 2021-5, Class A-1 Provis.-Final AAA(sf) -- US
23-Sep-21Mortgage-Backed Notes, Series 2021-5, Class A-2 Provis.-Final AA (sf) -- US
23-Sep-21Mortgage-Backed Notes, Series 2021-5, Class A-3 Provis.-Final A (sf) -- US
23-Sep-21Mortgage-Backed Notes, Series 2021-5, Class M-1 Provis.-Final BBB (sf) -- US
23-Sep-21Mortgage-Backed Notes, Series 2021-5, Class B-1 Provis.-Final BB (sf) -- US
23-Sep-21Mortgage-Backed Notes, Series 2021-5, Class B-2 Provis.-Final B (sf) -- US
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