Morningstar DBRS Takes Credit Rating Actions on 18 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 256 classes in 18 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 18 transactions reviewed, 13 are classified as reperforming mortgages and five as agency credit risk transfers. Of the 256 classes reviewed, Morningstar DBRS upgraded its credit ratings on 99 classes and confirmed its credit ratings on the remaining 157 classes.

The credit rating upgrades reflect positive performance trends and increases in credit support sufficient to withstand stresses at their new credit rating levels. The credit rating confirmations reflect asset-performance and credit-support levels that are consistent with the current credit ratings.

The transaction assumptions consider Morningstar DBRS’ baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns March 2024 Update,” published on March 27, 2024 (https://dbrs.morningstar.com/research/430189). These baseline macroeconomic scenarios replace Morningstar DBRS’ moderate and adverse coronavirus pandemic scenarios, which were first published in April 2020.

The credit rating actions are the result of Morningstar DBRS’ application of its “U.S. RMBS Surveillance Methodology,” published on March 3, 2023.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

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 Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) at https://dbrs.morningstar.com/research/427030.

Notes:
The principal methodology applicable to the credit ratings is the U.S. RMBS Surveillance Methodology (March 3, 2023), https://dbrs.morningstar.com/research/410498.

Other methodologies referenced in these transactions are listed at the end of this press release.

The credit ratings assigned to the classes below materially deviate from the credit ratings implied by the predictive model. Morningstar DBRS typically expects there to be a substantial likelihood that a reasonable investor or other user of the credit ratings would consider a three-notch or more deviation from the credit rating stresses implied by the predictive model to be a significant factor in evaluating the credit ratings. The rationale for the material deviations below varies among tranches having (1) additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress, (2) certain risk is not fully reflected in the quantitative model output or (3) dependency on another credit rating (such as interest-only tranche or exchangeable tranche).

The following tranches materially deviate because of additional seasoning and/or updated performance to be measured against a sustainable upgrade loan-level cash flow stress.

-- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-2
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class B-1
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class B-2
-- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class B-1
-- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class B-2
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-2, Class M
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class B-1
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class B-2
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2

The following tranches materially deviate because certain risk is not fully reflected in the quantitative model output.

-- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class B-1
-- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class M-2

The following tranches materially deviate because of dependency on another credit rating (such as interest-only tranche or exchangeable tranche).

-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2A
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2AX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2B
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2BX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2C
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2CX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2D
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2DX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2E
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2EX

The credit ratings were initiated at the request of the rated entities.

The rated entity or its related entities did participate in the credit rating process for these credit rating actions.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with these credit rating actions.

These are solicited credit ratings.

DBRS, Inc.
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Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023),
https://dbrs.morningstar.com/research/420108
-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Legal Criteria for U.S. Structured Finance (April 15, 2024),
https://dbrs.morningstar.com/research/431205

For more information on these credits or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.