Rating Action: Moody's upgrades nine tranches from two MI CRT transactions issued in 2021Global Credit Research - 02 Sep 2022New York, September 02, 2022 -- Moody's Investors Service ("Moody's") has upgraded the ratings of nine tranches from two MI CRT 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 ceding insurers on a portfolio of residential mortgage loans.Please click on this link https://www.moodys.com/viewresearchdoc.aspx?docid=PBS_ARFTL469176 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.The complete rating actions are as follows:Issuer: Eagle Re 2021-2 Ltd.Cl. M-1A, Upgraded to A2 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Baa1 (sf)Cl. M-1B, Upgraded to Baa1 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Baa3 (sf)Cl. M-1C, Upgraded to Baa3 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba2 (sf)Cl. M-1C-1, Upgraded to Baa2 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba1 (sf)Cl. M-1C-2, Upgraded to Baa3 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba2 (sf)Cl. M-1C-3, Upgraded to Ba1 (sf); previously on Nov 9, 2021 Definitive Rating Assigned Ba3 (sf)Cl. M-2, Upgraded to Ba3 (sf); previously on Nov 9, 2021 Definitive Rating Assigned B2 (sf)Issuer: Radnor Re 2021-2 Ltd.Cl. M-1A, Upgraded to Baa1 (sf); previously on Nov 10, 2021 Definitive Rating Assigned Baa3 (sf)Cl. M-1B, Upgraded to Ba1 (sf); previously on Nov 10, 2021 Definitive Rating Assigned Ba3 (sf)RATINGS RATIONALEToday's upgrade actions are primarily driven by the increased levels of credit enhancement available to the bonds and the decreased level of expected losses. These transactions have experienced approximately 8% prepayment rates averaging over the last six months, with no loss on the insured balance under each of the reinsurance agreements. The prepayments and the sequential pay structure 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 are 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 were subject to the terms of the reinsurance trust agreement.Following the instruction of the ceding insurer, the trustee liquidates assets in the reinsurance trust account to (1) make principal payments to the note holders 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 after the unfunded 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.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 transaction's originators and servicers.- Principal MethodologiesThe principal methodology used in these ratings was "Moody's Approach to Rating US RMBS Using the MILAN Framework" published in July 2022 and available at https://ratings.moodys.com/api/rmc-documents/390484. Alternatively, please see the Rating Methodologies page on https://ratings.moodys.com for a copy of this methodology.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 poor servicing, error on the part of transaction parties, inadequate transaction governance and fraud.Finally, performance of RMBS continues to remain highly dependent on servicer procedures. Any change resulting from servicing transfers or other policy or regulatory change can impact the performance of this transaction. In addition, improvements in reporting formats and data availability across deals and trustees may provide better insight into certain performance metrics such as the level of collateral modifications.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 https://ratings.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_ARFTL469176 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 on https://ratings.moodys.com/rating-definitions.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 issuer/deal page for the respective issuer on https://ratings.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 ratings have 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 https://ratings.moodys.com/documents/PBC_1288235.Please see https://ratings.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 issuer/deal page on https://ratings.moodys.com for additional regulatory disclosures for each credit rating. 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