Classes M-2, M-2R, M-2S, M-2T, M-2U, M-2I, M-2AR, M-2AS, M-2AT, M-2AU, M-2AI, M-2BR, M-2BS, M-2BT, M-2BU, M-2BI, M-2RB, M-2SB, M-2TB, and M-2UB are Modifiable and Combinable STACR Notes (MAC Notes). Classes M-2I, M-2AI, and M-2BI are interest-only MAC Notes.
The A (low) (sf), BBB (sf), BB (high) (sf), and BB (sf) ratings reflect 3.000%, 2.000%, 1.625%, and 1.250% of credit enhancement, respectively. Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction.
STACR 2022-HQA3 is the 27th transaction in the STACR HQA series. The Notes are subject to the credit and principal payment risk of a certain reference pool (the
As of the Cut-Off Date, the
On the Closing Date, the trust will enter into a Collateral Administration Agreement (CAA) with
The coupon rates for the Notes are based on the Secured Overnight Financing Rate (SOFR). There are replacement provisions in place in the event that SOFR is no longer available. DBRS Morningstar did not run interest rate stresses for this transaction, as the interest is not linked to the performance of the reference obligations. Instead, the trust will use the net investment earnings on the eligible investments together with
In this transaction, approximately 1.9% of the loans were originated using property values determined using
The calculation of principal payments to the Notes will be based on actual principal collected on the
For STACR 2022-HQA3, the minimum credit enhancement test is not set to fail at the Closing Date. This allows rated classes to receive principal payments from the First Payment Date, provided the other two performance tests-delinquency test and cumulative net loss test-are met. Additionally, the nonsenior tranches will be entitled to the supplemental subordinate reduction amount if the offered reference tranche percentage increases 5.50%.
The interest payments for these transactions are not linked to the performance of the Reference Obligations, except to the extent that modification losses have occurred. The Class B-3H Notes' coupon rate will be zero, which may reduce the cushion that rated classes have to the extent any modification losses arise. Additionally, payment deferrals will be treated as modification events and could lead to modification losses. Please see the Private Placement Memorandum for more details.
The Notes will be scheduled to mature on the payment date in
The sponsor of the transaction will be
If a Reference Obligation is refinanced under the Enhanced Relief Refinance Program, the resulting refinanced reference obligation may be included in the
For this transaction, if a loan becomes delinquent and the related servicer reports that such loan is in disaster forbearance before the sixth reporting period from the landfall of a hurricane,
The Coronavirus Disease (COVID-19) pandemic and the resulting isolation measures have caused an immediate economic contraction, leading to sharp increases in unemployment rates and income reductions for many consumers. Shortly after the onset of the pandemic, DBRS Morningstar saw an increase in delinquencies for many residential mortgage-backed securities (RMBS) asset classes.
Such mortgage delinquencies were mostly in the form of forbearances, which are generally short-term periods of payment relief that may perform very differently from traditional delinquencies. At the onset of the pandemic, the option to forbear mortgage payments was widely available, driving forbearances to an elevated level. When the dust settled, loans with coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid, low LTVs, and acceptable underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending downward, as forbearance periods come to an end for many borrowers.
As of the Cut-Off Date, there are no loans that are subject to an active coronavirus-related forbearance
plan with the Servicer.
For more information regarding the economic stress assumed under its baseline scenario, please see the following DBRS Morningstar commentary: 'Baseline Macroeconomic Scenarios For Rated Sovereigns:
The ratings reflect transactional strengths that include the following:
Seller (or lender)/servicer approval process and quality control platform.
Well-diversified reference pool.
High-quality credit and loan attributes.
Strong alignment of interest.
Extensive performance history.
The transaction also includes the following challenges:
High LTV loans.
Representation and warranties framework.
Limited third-party due diligence.
Counterparty exposure.
The full description of the strengths, challenges, and mitigating factors is detailed in the related report.
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.
Notes:
All figures are in
The principal methodology is RMBS Insight 1.3:
The DBRS
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.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.
The full report providing additional analytical detail is available by clicking on the link under Related Documents below or by contacting us at info@dbrsmorningstar.com.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 212 806-3277
Ratings
Date Issued Debt Rated Rating Trend Action Attributesi
US = Lead Analyst based in USA
CA = Lead Analyst based in
EU = Lead Analyst based in EU
E = EU endorsed
U =
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-participating
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-1A A (low) (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-1B BBB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2A BB (high) (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2AI BB (high) (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2AR BB (high) (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2AS BB (high) (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2AT BB (high) (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2AU BB (high) (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2 BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2B BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BI BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BR BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BS BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BT BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2BU BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2I BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2R BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2RB BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2S BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2SB BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2T BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2TB BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2U BB (sf) -- Provis.-Final US
12-Aug-22 Structured Agency Credit Risk (STACR) REMIC 2022-HQA3 Notes, Class M-2UB BB (sf) -- Provis.-Final US
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