Morningstar DBRS confirms ratings on 12 U.S. RMBS transactions

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Morningstar confirms RMBS ratings

Highlights

Morningstar DBRS reviewed 97 classes across 12 U.S. legacy RMBS transactions and confirmed all existing credit ratings.
The confirmations reflect asset-performance trends and credit-support levels consistent with current ratings, with no significant ESG impact on the credit analysis.
Morningstar DBRS incorporated baseline macroeconomic assumptions from its March 2026 update, replacing previous pandemic scenarios for its credit evaluation.

Review scope and rating rationale

As reported by Morningstar DBRS, the agency reviewed 97 classes across 12 U.S. residential mortgage-backed securities transactions classified as legacy RMBS and confirmed the credit ratings on all 97 classes.

The confirmations reflect asset-performance trends and credit-support levels that the agency considers consistent with the current ratings. Morningstar DBRS says its ratings on the applicable classes address the credit risk tied to the identified financial obligations under the relevant transaction documents.

Where relevant, descriptions of those obligations are available in the transactions' original issuance press releases. The agency also states that its long-term credit ratings express opinions on default risk, defined as the risk that an issuer will fail to meet financial obligations under the terms of a long-term obligation.

Macroeconomic assumptions and sector relevance

The review incorporates Morningstar DBRS' baseline macroeconomic scenarios for rated sovereign economies from its "Baseline Macroeconomic Scenarios for Rated Sovereigns March 2026 Update," published on March 27, 2026. Those baseline assumptions replace the agency's moderate and adverse coronavirus pandemic scenarios first published in April 2020.

For the U.S. RMBS market, the unchanged ratings indicate that the affected legacy transactions continue to perform within expected parameters under the current analytical framework. Morningstar DBRS also says no environmental, social or governance factors had a significant or relevant effect on the credit analysis.

In our earlier article on Fitch’s affirmation of Nationwide Building Society’s mortgage covered bonds at ‘AAA’, we explained how the rating was supported by the programme’s protections, over-collateralisation and the prime UK residential mortgage cover pool. We also noted Nationwide’s plan to fold legacy Clydesdale covered bonds into its main programme in July 2026, which Fitch expected to have no impact on ratings.

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Morningstar DBRS confirms ratings on 12 U.S. RMBS transactions

Highlights

Review scope and rating rationale

Macroeconomic assumptions and sector relevance

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