DBRS Morningstar Takes Rating Actions on 53 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 575 classes from 53 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 53 transactions, 33 are generally classified as re-performing transactions, seven as non-qualified mortgage transactions, seven as second-lien transactions, two as small balance commercial transactions, two as subprime transactions, one as a seasoned transaction, and one as a manufactured housing transaction. Of the 575 classes reviewed, DBRS Morningstar upgraded 213 ratings, confirmed 352 ratings, and discontinued 10 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 discontinued ratings reflect the full repayment of principal to bondholders.

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.

-- Towd Point Mortgage Trust 2016-4, Asset Backed Securities, Series 2016-4, Class B3
-- Towd Point Mortgage Trust 2016-5, Asset Backed Securities, Series 2016-5, Class B2
-- Towd Point Mortgage Trust 2016-5, Asset Backed Securities, Series 2016-5, Class B3
-- Towd Point Mortgage Trust 2017-1, Asset Backed Securities, Series 2017-1, Class B2
-- Towd Point Mortgage Trust 2017-2, Asset Backed Securities, Series 2017-2, Class B2
-- Towd Point Mortgage Trust 2017-2, Asset Backed Securities, Series 2017-2, Class B3
-- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B1
-- Towd Point Mortgage Trust 2017-3, Asset Backed Securities Series 2017-3, Class B2
-- Towd Point Mortgage Trust 2017-3, Asset Backed Securities, Series 2017-3, Class B3
-- Towd Point Mortgage Trust 2017-4, Asset Backed Securities Series 2017-4, Class B1
-- Towd Point Mortgage Trust 2017-4, Asset Backed Securities Series 2017-4, Class B2
-- Towd Point Mortgage Trust 2017-5, Asset-Backed Securities, Series 2017-5, Class B1
-- Towd Point Mortgage Trust 2017-5, Asset-Backed Securities, Series 2017-5, Class B2
-- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class B1
-- Towd Point Mortgage Trust 2017-6, Asset-Backed Securities Series 2017-6, Class B2
-- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class M2
-- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B1
-- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B2
-- Towd Point Mortgage Trust 2018-1, Asset Backed Securities, Series 2018-1, Class B3
-- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class M2
-- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class B1
-- Towd Point Mortgage Trust 2018-2, Asset Backed Securities Series 2018-2, Class B2
-- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class M2
-- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class B1
-- Towd Point Mortgage Trust 2018-3, Asset Backed Securities Series 2018-3, Class B2
-- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class M1
-- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class M2
-- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class B1
-- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class B2
-- Towd Point Mortgage Trust 2018-6, Asset Backed Securities, Series 2018-6, Class A4
-- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class M1
-- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class M2
-- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class B1
-- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class B2
-- Towd Point Mortgage Trust 2019-1, Asset-Backed Securities, Series 2019-1, Class A4
-- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class M2
-- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class B1
-- Towd Point Mortgage Trust 2019-2, Asset-Backed Securities, Series 2019-2, Class B2
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class B1
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class B2
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2A
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2B
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2C
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2D
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2E
-- Towd Point Mortgage Trust 2019-3, Asset-Backed Securities, Series 2019-3, Class M2X
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B2
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B3
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2A
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2AX
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2B
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class M2BX
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1A
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1AX
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1B
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class B1BX
-- Towd Point Mortgage Trust 2019-4, Asset-Backed Securities, Series 2019-4, Class A5
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-1, Class M
-- GS Mortgage-Backed Securities Trust 2022-RPL2, Mortgage-Backed Securities, Series 2022-RPL2, Class M-1
-- GS Mortgage-Backed Securities Trust 2022-RPL2, Mortgage-Backed Securities, Series 2022-RPL2, Class M-2
-- GS Mortgage-Backed Securities Trust 2022-RPL2, Mortgage-Backed Securities, Series 2022-RPL2, Class B-1
-- GS Mortgage-Backed Securities Trust 2022-RPL2, Mortgage-Backed Securities, Series 2022-RPL2, Class B-2
-- GS Mortgage-Backed Securities Trust 2022-RPL2, Mortgage-Backed Securities, Series 2022-RPL2, Class A-4
-- GS Mortgage-Backed Securities Trust 2022-RPL2, Mortgage-Backed Securities, Series 2022-RPL2, Class A-5
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class M-1
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class M-2
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class B-1
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class B-2
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class B-3
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class A-4
-- Citigroup Mortgage Loan Trust 2022-RP1, Mortgage-Backed Notes, Series 2022-RP1, Class A-5
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IO
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3A
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3B
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3C
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3D
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3E
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3F
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3G
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-3H
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOA
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOB
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOC
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOD
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOE
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOF
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B3-IOG
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IO
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4A
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4B
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4C
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4D
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4E
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4F
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4G
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-4H
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOA
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOB
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOC
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOD
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOE
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOF
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B4-IOG
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5A
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5B
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5C
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-5D
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOA
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOB
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOC
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B5-IOD
-- New Residential Mortgage Loan Trust 2020-2, Mortgage-Backed Notes, Series 2020-2, Class B-7
-- MFA 2021-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class M-1
-- MFA 2021-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-1
-- MFA 2021-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2021-NQM1, Class B-2
-- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class A-3
-- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class M-1
-- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class B-1
-- Starwood Mortgage Residential Trust 2021-2, Mortgage Pass-Through Certificates, Series 2021-2, Class B-2
-- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class M-1
-- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-1
-- Verus Securitization Trust 2020-2, Mortgage Pass-Through Certificates, Series 2020-2, Class B-2
-- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class A-3
-- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class M-1
-- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class B-1
-- Verus Securitization Trust 2021-2, Mortgage-Backed Notes, Series 2021-2, Class B-2
-- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class A3
-- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class M1
-- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class B1
-- Verus Securitization Trust 2021-R3, Mortgage-Backed Notes, Series 2021-R3, Class B2
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class A-3
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class M-1
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class B-1
-- Visio 2021-1R Trust, Mortgage-Backed Notes, Series 2021-1R, Class B-2
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-3
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-4
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M-5
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M3-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M3-IO
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M4-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M4-IO
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M5-A
-- Velocity Commercial Capital Loan Trust 2021-1, Mortgage-Backed Certificates, Series 2021-1, Class M5-IO

The transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: December 2022 Update,” published on December 21, 2022 (https://www.dbrsmorningstar.com/research/407678). These baseline macroeconomic scenarios replace DBRS Morningstar’s moderate and adverse Coronavirus Disease (COVID-19) pandemic scenarios, which were first published in April 2020.

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

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 (May 17, 2022).

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

Other methodologies referenced in these transactions are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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. .

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.

DBRS, Inc.
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The rating methodologies used in the analysis of this transaction can be found at: https://www.dbrsmorningstar.com/about/methodologies.

RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (March 3, 2023)
https://www.dbrsmorningstar.com/research/410473

Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022)
https://www.dbrsmorningstar.com/research/402153

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