DBRS Morningstar Assigns Ratings to Towd Point Mortgage Trust 2020-2

DBRS, Inc. (DBRS Morningstar) assigned ratings to the following Asset-Backed Securities, Series 2020-2 issued by Towd Point Mortgage Trust 2020-2 (the Trust) as follows:

-- $51.2 million Class A1B1 at AAA (sf)
-- $51.2 million Class A1B2 at AAA (sf)
-- $51.2 million Class A1B3 at AAA (sf)
-- $51.2 million Class A1B4 at AAA (sf)
-- $51.2 million Class A1B5 at AAA (sf)
-- $204.8 million Class A1BX at AAA (sf)

Classes A1B1, A1B2, A1B3, A1B4, A1B5, and A1BX are exchangeable notes. These classes can be exchanged for combinations of an exchange note previously issued in April 2020 (Class A1B) as specified in the related transaction documents.

Class A1BX is an interest-only note. The class balance represents the maximum notional amount as the notional amount may vary based on the exchangeable combination.

The above-referenced exchangeable classes were issued by the Trust pursuant to an Amendment and Supplement to the Transfer Agreement and the Indenture as of the Amendment Date (March 1, 2022).

DBRS Morningstar previously assigned ratings to and confirmed ratings on certain other classes in the above transaction. For more information, please see the press releases “DBRS Finalizes its Provisional Ratings on Towd Point Mortgage Trust 2020-2” dated May 1, 2020, and “DBRS Morningstar Takes Rating Actions on Towd Point Mortgage Trust 2020-2” dated March 1, 2022.

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 December 2021 Update,” published on December 9, 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.

Notes:
The principal methodologies are 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 info@dbrsmorningstar.com.

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