DBRS Morningstar Takes Rating Actions on 24 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 259 classes from 24 U.S. residential mortgage-backed security (RMBS) transactions. Of the 259 classes reviewed, DBRS Morningstar upgraded 62 ratings and confirmed 197 ratings.

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

The pools backing the reviewed RMBS transactions consist of second lien, prime, re-performing, and non-qualified mortgage collateral.

The ratings assigned to the securities listed below differ from the ratings implied by the quantitative model. DBRS Morningstar considers these differences material deviations; however, in these cases, the ratings on the subject securities may reflect additional seasoning being warranted to substantiate a further upgrade or that the actual deal or tranche performance is not fully reflected in the projected cash flows/model output.

-- CTDL 2020-1 Trust, Mortgage Pass-Through Certificates, Series 2020-1, Class A-1
-- CTDL 2020-1 Trust, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class M-1
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-2
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1A
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1AX
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1B
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1BX
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1C
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1CX
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1D
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1DX
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1E
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1EX
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1F
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1FX
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1G
-- Homeward Opportunities Fund I Trust 2020-1, Mortgage Pass-Through Certificates, Series 2020-1, Class B-1GX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-A
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-AX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-B
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-BX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-C
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-CX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-D
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-DX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-E
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1-EX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-A
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-AX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-B
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-BX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-C
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-CX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-D
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-DX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-E
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1-EX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-A
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-AX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-B
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-BX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-C
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-CX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-D
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-DX
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-E
-- Starwood Mortgage Residential Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2-EX
-- Verus Securitization Trust 2020-3, Mortgage Pass-Through Certificates, Series 2020-3, Class A-3
-- Verus Securitization Trust 2020-3, Mortgage Pass-Through Certificates, Series 2020-3, Class M-1
-- Verus Securitization Trust 2020-3, Mortgage Pass-Through Certificates, Series 2020-3, Class B-1
-- Verus Securitization Trust 2020-3, Mortgage Pass-Through Certificates, Series 2020-3, Class B-2
-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities, Series 2019-F, Class A-2
-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities, Series 2019-F, Class A-3
-- Ajax Mortgage Loan Trust 2019-F, Mortgage-Backed Securities, Series 2019-F, Class M-1
-- CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B-3
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-4, Series 2018-4, Class M
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B2
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B3
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B4
-- Mello Mortgage Capital Acceptance 2018-MTG2, Mortgage Pass-Through Certificates, Series 2018-MTG2, Class B5
-- Wells Fargo Mortgage Backed Securities 2018-1 Trust, Mortgage Pass-Through Certificates, Series 2018-1, Class B-4
-- Wells Fargo Mortgage Backed Securities 2020-2 Trust, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2
-- Wells Fargo Mortgage Backed Securities 2020-2 Trust, Mortgage Pass-Through Certificates, Series 2020-2, Class B-3
-- Wells Fargo Mortgage Backed Securities 2020-2 Trust, Mortgage Pass-Through Certificates, Series 2020-2, Class B-4
-- Wells Fargo Mortgage Backed Securities 2020-2 Trust, Mortgage Pass-Through Certificates, Series 2020-2, Class B-5
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-2, Asset Backed Securities, Series 2017-2, Class M-1
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Series 2017-3, Class M-1
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Series 2017-3, Class M-2

CORONAVIRUS DISEASE (COVID-19) IMPACT
The coronavirus 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. DBRS Morningstar saw increases in delinquencies for many RMBS asset classes, shortly after the onset of coronavirus.

Such mortgage delinquencies were mostly in the form of forbearance, which are generally short-term payment reliefs that may perform very differently from traditional delinquencies. At the onset of coronavirus, because the option to forbear mortgage payments was so widely available, it drove forbearance to a very high level. When the dust settled, coronavirus-induced forbearance in 2020 performed better than expected, thanks to government aid and good underwriting in the mortgage market in general. Across nearly all RMBS asset classes, delinquencies have been gradually trending down in recent months as the forbearance period comes to an end for many borrowers.

In connection with the economic stress assumed under its baseline scenario (“Baseline Macroeconomic Scenarios For Rated Sovereigns,” published on September 8, 2021), DBRS Morningstar may assume higher loss expectations for pools with loans on forbearance plans.

ESG CONSIDERATIONS
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/373262.

The rating actions are the result of DBRS Morningstar’s application of its “U.S. RMBS Surveillance Methodology,” published on February 21, 2020.

Notes:
The principal methodologies are the U.S. RMBS Surveillance Methodology (February 21, 2020) and RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (April 1, 2020), which can be found on dbrsmorningstar.com under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report: https://www.dbrsmorningstar.com/research/384482/baseline-macroeconomic-scenarios-application-to-credit-ratings.

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.

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

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