Rating Action: Moody's upgrades 21 tranches from five US RMBS transactions issued in 2021Global Credit Research - 31 Jan 2022New York, January 31, 2022 -- Moody's Investors Service ("Moody's") has upgraded the ratings of 21 tranches from five mortgage insurance credit risk transfer transactions issued in 2021. These transactions were issued to transfer to the capital markets the credit risk of private mortgage insurance (MI) policies, issued by Arch Mortgage Insurance Company and United Guaranty Residential Insurance Company (Bellemeade Re), Essent Guaranty, Inc. (Radnor Re), Radian Guaranty Inc (Eagle Re), National Mortgage Insurance Corporation (Oaktown Re), and Genworth Mortgage Insurance Corporation (Triangle Re), the ceding insurers, on a portfolio of residential mortgage loans.The complete rating actions are as follows:Issuer: Bellemeade Re 2021-1 Ltd.Cl. B-1, Upgraded to B2 (sf); previously on Mar 30, 2021 Definitive Rating Assigned B3 (sf)Cl. M-1A, Upgraded to Aa2 (sf); previously on Mar 30, 2021 Definitive Rating Assigned A1 (sf)Cl. M-1B, Upgraded to A1 (sf); previously on Mar 30, 2021 Definitive Rating Assigned A3 (sf)Cl. M-1C, Upgraded to Baa1 (sf); previously on Mar 30, 2021 Definitive Rating Assigned Baa3 (sf)Cl. M-2, Upgraded to Ba2 (sf); previously on Mar 30, 2021 Definitive Rating Assigned Ba3 (sf)Issuer: Eagle Re 2021-1 Ltd.Cl. B-1, Upgraded to B1 (sf); previously on Apr 22, 2021 Definitive Rating Assigned B2 (sf)Cl. B-2, Upgraded to B2 (sf); previously on Apr 22, 2021 Definitive Rating Assigned B3 (sf)Cl. M-1A, Upgraded to A1 (sf); previously on Apr 22, 2021 Definitive Rating Assigned A3 (sf)Cl. M-1B, Upgraded to A2 (sf); previously on Apr 22, 2021 Definitive Rating Assigned Baa1 (sf)Cl. M-1C, Upgraded to Baa2 (sf); previously on Apr 22, 2021 Definitive Rating Assigned Baa3 (sf)Cl. M-2, Upgraded to Ba2 (sf); previously on Apr 22, 2021 Definitive Rating Assigned Ba3 (sf)Cl. M-2A, Upgraded to Ba1 (sf); previously on Apr 22, 2021 Definitive Rating Assigned Ba2 (sf)Cl. M-2B, Upgraded to Ba2 (sf); previously on Apr 22, 2021 Definitive Rating Assigned Ba3 (sf)Cl. M-2C, Upgraded to Ba3 (sf); previously on Apr 22, 2021 Definitive Rating Assigned B1 (sf)Issuer: Oaktown Re VI Ltd.Cl. M-1A, Upgraded to Baa1 (sf); previously on Apr 27, 2021 Definitive Rating Assigned Baa2 (sf)Issuer: Radnor Re 2021-1 Ltd.Cl. M-1A, Upgraded to Baa2 (sf); previously on Jun 23, 2021 Definitive Rating Assigned Baa3 (sf)Cl. M-1B, Upgraded to Baa2 (sf); previously on Jun 23, 2021 Definitive Rating Assigned Baa3 (sf)Issuer: Triangle Re 2021-2 Ltd.Cl. M-1A, Upgraded to A3 (sf); previously on Apr 16, 2021 Definitive Rating Assigned Baa2 (sf)Cl. M-1B, Upgraded to Baa2 (sf); previously on Apr 16, 2021 Definitive Rating Assigned Baa3 (sf)Cl. M-1C, Upgraded to Ba1 (sf); previously on Apr 16, 2021 Definitive Rating Assigned Ba2 (sf)Cl. M-2, Upgraded to B1 (sf); previously on Apr 16, 2021 Definitive Rating Assigned B2 (sf)Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL461976 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and identifies each affected issuer. This link also contains the associated underlying collateral losses.RATINGS RATIONALEToday's upgrade actions are primarily driven by the increased levels of credit enhancement available to the bonds and the reduction in projected losses. Driven by the low interest rate environment, as well as strong prepayment rates over the last few months. The three-month average CPR for the five deals was approximately 9.2% to 21.6% with zero loss on the insured balance under the reinsurance agreement. Strong prepayments and the sequential pay structures have benefited the bonds by increasing the paydown speed and building up credit enhancement.On the closing date, the issuer and the ceding insurer entered into a reinsurance agreement providing excess of loss reinsurance on mortgage insurance policies issued by the ceding insurer on a portfolio of residential mortgage loans. Proceeds from the sale of the notes were deposited into the reinsurance trust account for the benefit of the ceding insurer and as security for the issuer's obligations to the ceding insurer under the reinsurance agreement. The funds in the reinsurance trust account were also available to pay noteholders, following the termination of the trust and payment of amounts due to the ceding insurer. Funds in the reinsurance trust account were used to purchase eligible investments and are subject to the terms of the reinsurance trust agreement.Following instructions from the ceding insurer, the trustee liquidates assets in the reinsurance trust account to (1) make principal payments to the notes as the insurance coverage in the reference pool reduces due to loan amortization or policy termination, and (2) reimburse the ceding insurer whenever it pays MI claims once the bottom (not offered) coverage levels are written off. While income earned on eligible investments is used to pay interest on the notes, the ceding insurer is responsible for covering any difference between the investment income and interest accrued on the notes' coverage levels.In our analysis we considered the additional risk posed by borrowers enrolled in payment relief programs. We increased our MILAN model-derived median expected losses by 7.5% and our Aaa losses by 2.5% to reflect the performance deterioration resulting from a slowdown in US economic activity due to the COVID-19 outbreak. This loss increase was based on our assessment of the additional losses if 50% of such loans incur a deferral of the missed payments or a modification to the loan terms.Our updated loss expectation on the pool incorporates, amongst other factors, our assessment of the representations and warranties frameworks of the transactions, the due diligence findings of the third-party reviews received at the time of issuance, and the strength of the loan originations.Today's action has considered how the coronavirus pandemic has reshaped US economic environment and the way its aftershocks will continue to reverberate and influence the performance of residential mortgage loans. We expect the public health situation to improve as vaccinations against COVID-19 increase and societies continue to adapt to new protocols. Still, the exit from the pandemic will likely be bumpy and unpredictable and economic prospects will vary.We regard the coronavirus outbreak as a social risk under our ESG framework, given the substantial implications for public health and safety.- Principal MethodologiesThe principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in August 2021 and available at https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1271478. Alternatively, please see the Rating Methodologies page on www.moodys.com for a copy of this methodology.Please note that a Request for Comment was published in which Moody's requested market feedback on potential revisions to one or more of the methodologies used in determining these Credit Ratings. If the revised methodologies are implemented as proposed, it is not currently expected that the Credit Ratings referenced in this press release will be affected. Request for Comments can be found on the rating methodologies page on www.moodys.com.In addition, Moody's publishes a weekly summary of structured finance credit ratings and methodologies, available to all registered users of our website, www.moodys.com/SFQuickCheck.Factors that would lead to an upgrade or downgrade of the ratings:UpLevels of credit protection that are higher than necessary to protect investors against current expectations of loss could drive the ratings of the subordinate bonds up. Losses could decline from Moody's original expectations as a result of a lower number of obligor defaults or appreciation in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market.DownLevels of credit protection that are insufficient to protect investors against current expectations of loss could drive the ratings down. Losses could rise above Moody's expectations as a result of a higher number of obligor defaults or deterioration in the value of the mortgaged property securing an obligor's promise of payment. Transaction performance also depends greatly on the US macro economy and housing market. Other reasons for worse-than-expected performance include error on the part of transaction parties, inadequate transaction governance and fraud.For more information please see www.moodys.com.REGULATORY DISCLOSURESThe List of Affected Credit Ratings announced here are all solicited credit ratings. For additional information, please refer to Moody's Policy for Designating and Assigning Unsolicited Credit Ratings available on its website www.moodys.com. Additionally, the List of Affected Credit Ratings includes additional disclosures that vary with regard to some of the ratings. Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL461976 for the List of Affected Credit Ratings. This list is an integral part of this Press Release and provides, for each of the credit ratings covered, Moody's disclosures on the following items:** Rating Solicitation** Issuer Participation** Participation: Access to Management** Participation: Access to Internal Documents ** Endorsement ** Lead Analyst ** Releasing Office For further specification of Moody's key rating assumptions and sensitivity analysis, see the sections Methodology Assumptions and Sensitivity to Assumptions in the disclosure form. Moody's Rating Symbols and Definitions can be found at: https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.The analysis includes an assessment of collateral characteristics and performance to determine the expected collateral loss or a range of expected collateral losses or cash flows to the rated instruments. As a second step, Moody's estimates expected collateral losses or cash flows using a quantitative tool that takes into account credit enhancement, loss allocation and other structural features, to derive the expected loss for each rated instrument.Moody's quantitative analysis entails an evaluation of scenarios that stress factors contributing to sensitivity of ratings and take into account the likelihood of severe collateral losses or impaired cash flows. Moody's weights the impact on the rated instruments based on its assumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt or security this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series, category/class of debt, security or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the credit rating action on the support provider and in relation to each particular credit rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this credit rating action, and whose ratings may change as a result of this credit rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.The rating has been disclosed to the rated entity or its designated agent (s) and issued with no amendment resulting from that disclosure.Regulatory disclosures contained in this press release apply to the credit rating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social and governance (ESG) risks in our credit analysis can be found at http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.At least one ESG consideration was material to the credit rating action(s) announced and described above.Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating. 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