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

DBRS, Inc. (DBRS Morningstar) reviewed 16 classes from three U.S. residential mortgage-backed securities (RMBS) transactions. Of the 16 classes reviewed, DBRS Morningstar upgraded four ratings, confirmed six, and discontinued six because of full repayment of the outstanding bond balances.

Boston Lending Trust 2021-1
-- Asset-Backed Notes, Series 2021-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-1 confirmed at AA (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-2 confirmed at A (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-3 confirmed at BBB (sf)

Finance of America HECM Buyout 2020-HB2
-- Asset-Backed Notes, Series 2020-HB2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M1 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M2 upgraded to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M3 upgraded to AA (low) (sf) from A (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M4 upgraded to A (sf) from BBB (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M5 upgraded to A (low) (sf) from BBB (low) (sf)

Nationstar HECM Loan Trust 2020-1
-- Asset-Backed Notes, Series 2020-1 Class A discontinued due to repayment
-- Asset-Backed Notes, Series 2020-1 Class M1 discontinued due to repayment
-- Asset-Backed Notes, Series 2020-1 Class M2 discontinued due to repayment
-- Asset-Backed Notes, Series 2020-1 Class M3 discontinued due to repayment
-- Asset-Backed Notes, Series 2020-1 Class M4 discontinued due to repayment
-- Asset-Backed Notes, Series 2020-1 Class M5 discontinued due to repayment

These rating actions reflect asset performance and credit-support levels that are consistent with the current ratings.

DBRS Morningstar’s rating actions are based on the following analytical considerations:

-- Key performance measures, as reflected in credit enhancement increases since deal inception, and running total cumulative loss percentages.

-- The pools backing the reviewed RMBS transactions consist of RM collateral.

RM LOANS
Lenders typically offer RM loans to people who are at least 62 years old. Through RM loans, borrowers have access to home equity through a lump sum amount or a stream of payments without periodically repaying principal or interest, allowing the loan balance to accumulate over a period of time until a maturity event occurs. Loan repayment is required if (1) the borrower dies, (2) the borrower sells the related residence, (3) the borrower no longer occupies the related residence for a period (usually a year), (4) it is no longer the borrower’s primary residence, (5) a tax or insurance default occurs, or (6) the borrower fails to properly maintain the related residence. In addition, borrowers must be current on any homeowner’s association dues if applicable. RMs are typically nonrecourse; borrowers do not have to provide additional assets in cases where the outstanding loan amount exceeds the property’s value (the crossover point). As a result, liquidation proceeds will fall below the loan amount in cases where the outstanding balance reaches the crossover point, contributing to higher loss severities for these loans.

ENVIRONMENTAL, SOCIAL, AND GOVERNANCE CONSIDERATIONS
There were no environmental, social, and 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.

Notes:
The principal methodology is the U.S. Reverse Mortgage Securitization Ratings Methodology (May 8, 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.

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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