DBRS Morningstar Takes Rating Actions on 39 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 345 classes from 39 U.S. residential mortgage-backed securities (RMBS) transactions. The 39 transactions are generally classified as legacy subprime, alt-a, and reperforming. Of the 345 classes reviewed, DBRS Morningstar upgraded 145 ratings and confirmed 200 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 transaction assumptions consider DBRS Morningstar’s baseline macroeconomic scenarios for rated sovereign economies, available in its commentary “Baseline Macroeconomic Scenarios for Rated Sovereigns: June 2023 Update,” published on June 30, 2023 (https://www.dbrsmorningstar.com/research/416703). 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/416784 (July 4, 2023).

Notes:
The principal methodology applicable to the credit 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.

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 credit ratings assigned to the classes below materially deviate from the ratings implied by the predictive model. DBRS Morningstar 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 being (1) dependent on another tranche’s ratings (i.e., interest-only (IO) and exchangeable tranches), or (2) additional seasoning and/or updated performance being warranted to substantiate a further upgrade.

The below tranches materially deviate because of a dependency on another rating such as (IO) or exchangeable tranches:

GS Mortgage-Backed Securities Trust 2020-RPL2, Mortgage-Backed Securities, Series 2020-RPL2, Class A-4
GS Mortgage-Backed Securities Trust 2020-RPL2, Mortgage-Backed Securities, Series 2020-RPL2, Class A-4-IO
GS Mortgage-Backed Securities Trust 2020-RPL2, Mortgage-Backed Securities, Series 2020-RPL2, Class A-8
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class M2A
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class M2AX
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class M2B
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class M2BX
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1C
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1CX
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1D
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1DX
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1E
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1EX
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1F
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1FX
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B2
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class A5
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class M2A
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class M2AX
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class M2B
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class M2BX
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B1A
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B1AX
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B1B
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B1BX
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B2A
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B2AX
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class M2A
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class M2AX
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class M2B
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class M2BX
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class M2C
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class M2CX
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class M2A
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class M2AX
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class M2B
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class M2BX
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class M2C
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class M2CX

The below tranches materially deviate because of additional seasoning and/or updated performance being warranted to substantiate a further upgrade:

BRAVO Residential Funding Trust 2020-RPL2, Mortgage-Backed Notes, Series 2020-RPL2, Class M-2
BRAVO Residential Funding Trust 2020-RPL2, Mortgage-Backed Notes, Series 2020-RPL2, Class B-1
BRAVO Residential Funding Trust 2020-RPL2, Mortgage-Backed Notes, Series 2020-RPL2, Class B-2
CIM Trust 2021-R6, Mortgage-Backed Notes, Series 2021-R6, Class M2
CIM Trust 2021-R6, Mortgage-Backed Notes, Series 2021-R6, Class M3
CIM Trust 2021-R6, Mortgage-Backed Notes, Series 2021-R6, Class B1
CIM Trust 2021-R6, Mortgage-Backed Notes, Series 2021-R6, Class B2
CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B-4
CSMC 2017-RPL3 Trust, Mortgage-Backed Notes, Series 2017-RPL3, Class B-5
GS Mortgage-Backed Securities Trust 2020-RPL2, Mortgage-Backed Securities, Series 2020-RPL2, Class M-3
GS Mortgage-Backed Securities Trust 2020-RPL2, Mortgage-Backed Securities, Series 2020-RPL2, Class B-1
GS Mortgage-Backed Securities Trust 2020-RPL2, Mortgage-Backed Securities, Series 2020-RPL2, Class B-2
MetLife Securitization Trust 2018-1, Residential Mortgage-Backed Securities, Series 2018-1, Class B1
MetLife Securitization Trust 2018-1, Residential Mortgage-Backed Securities, Series 2018-1, Class B2
PRPM 2021-RPL2, LLC, Asset-Backed Notes, Series 2021-RPL2, Class M-1
PRPM 2021-RPL2, LLC, Asset-Backed Notes, Series 2021-RPL2, Class M-2
Towd Point Mortgage Trust 2018-4, Asset Backed Securities, Series 2018-4, Class B2
Towd Point Mortgage Trust 2018-5, Asset Backed Securities, Series 2018-5, Class M2
Towd Point Mortgage Trust 2018-5, Asset Backed Securities, Series 2018-5, Class B1
Towd Point Mortgage Trust 2018-5, Asset Backed Securities, Series 2018-5, Class B2
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class M2
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1A
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B1B
Towd Point Mortgage Trust 2020-1, Asset-Backed Securities, Series 2020-1, Class B2A
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class M2
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B1
Towd Point Mortgage Trust 2021-1, Asset-Backed Securities, Series 2021-1, Class B2
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class M2
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class B1
Towd Point Mortgage Trust 2022-3, Asset-Backed Securities, Series 2022-3, Class B2
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class M2
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class B1
Towd Point Mortgage Trust 2022-4, Asset-Backed Securities, Series 2022-4, Class B2
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-3, Series 2017-3, Class M-1
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-2, Series 2019-2, Class M
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-3, Series 2019-3, Class M
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2019-4, Series 2019-4, Class M
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-1, Series 2020-1, Class M
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-3, Series 2020-3, Class M
Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2021-3, Series 2021-3, Class M
Citigroup Mortgage Loan Trust 2022-RP4, Mortgage-Backed Notes, Series 2022-RP4, Class A-1
New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-4
New Century Home Equity Loan Trust 2005-2, Asset-Backed Notes, Series 2005-2, Class M-5
Aegis Asset Backed Securities Trust 2005-3, Mortgage-Backed Notes, Series 2005-3, Class M2

The rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the rating process for this rating action.

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

This is a solicited credit rating.

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 (August 9, 2023)
https://www.dbrsmorningstar.com/research/418987

Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023)
https://www.dbrsmorningstar.com/research/415687

Legal Criteria for U.S. Structured Finance (December 7, 2022)
https://www.dbrsmorningstar.com/research/407008

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