Press Release

DBRS Morningstar Takes Rating Actions on 16 U.S. RMBS Transactions

RMBS
May 25, 2023

DBRS, Inc. (DBRS Morningstar) reviewed 208 classes from 16 U.S. residential mortgage-backed securities (RMBS) transactions. The 16 transactions are generally classified as re-performing and Freddie Mac credit risk transfer transactions. Of the 208 classes reviewed, DBRS Morningstar upgraded 127 ratings and confirmed 81 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: April 23 Update,” published on April 28, 2023 (https://www.dbrsmorningstar.com/research/413218). 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.

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 is additional seasoning being warranted to substantiate a further upgrade.

-- BRAVO Residential Funding Trust 2020-RPL1, Mortgage-Backed Notes, Series 2020-RPL1, Class B-1
-- 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 A-4
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-4-IO
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class A-8
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-3
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-3-IO
-- Citigroup Mortgage Loan Trust 2020-RP1, Mortgage-Backed Notes, Series 2020-RP1, Class M-6
-- 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 A-5
-- Citigroup Mortgage Loan Trust 2021-RP4, Mortgage-Backed Notes, Series 2021-RP4, Class M-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
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class M-2
-- 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
-- GS Mortgage-Backed Securities Trust 2020-RPL1, Mortgage-Backed Securities, Series 2020-RPL1, Class A-5
-- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class M-2
-- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class B-1
-- MFA 2021-RPL1 Trust, Mortgage-Backed Notes, Series 2021-RPL1, Class B-2
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2016-1, Asset Backed Securities, Series 2016-1, Class M-2
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B2
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1A
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1AX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1B
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1BX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1C
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1CX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1D
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1DX
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1E
-- Towd Point Mortgage Trust 2020-3, Asset-Backed Securities, Series 2020-3, Class B1EX
-- 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
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2017-1, Asset Backed Securities, Series 2017-1, Class M-2
-- Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M

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 (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

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 info@dbrsmorningstar.com.

ALL MORNINGSTAR DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING MORNINGSTAR DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.