Morningstar DBRS Takes Credit Rating Actions on 21 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 82 classes from 21 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 82 classes reviewed, Morningstar DBRS upgraded 20 credit ratings, and confirmed 62 credit ratings.

Cascade Funding Mortgage Trust 2019-RM3
-- Mortgage Backed Notes, Series 2019-RM3, Class A confirmed at AAA (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class B confirmed at AAA (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class C confirmed at AAA (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class D confirmed at AAA (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class E upgraded to AA (high) (sf) from AA (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class F upgraded to AA (sf) from AA (low) (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class PO confirmed at BBB (low) (sf)

Finance of America Structured Securities RMF Trust, Series 2023-RMF1
-- Mortgage-Backed Notes, Series 2023-RMF1, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2023-RMF1, Class A2 confirmed at AA (low) (sf)
-- Mortgage-Backed Notes, Series 2023-RMF1, Class A3 confirmed at A (high) (sf)
-- Mortgage-backed Notes, Series 2023-RMF1, Class M1 confirmed at A (low) (sf)
-- Mortgage-Backed Notes, Series 2023-RMF1, Class M2 confirmed at BBB (sf)

Finance of America Structured Securities Trust 2021-S1
-- Mortgage-Backed Notes, Series 2021-S1, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2021-S1, Class A2 upgraded to AA (high) (sf) from AA (sf)

Finance of America Structured Securities Trust 2021-S2
-- Mortgage-Backed Notes, Series 2021-S2, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2021-S2, Class A2 confirmed at AA (sf)

Finance of America Structured Securities Trust 2021-S3
-- Mortgage-Backed Notes, Series 2021-S3, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2021-S3, Class A2 confirmed at AA (sf)

Finance of America Structured Securities Trust 2022-S1
-- Mortgage-Backed Notes, Series 2022-S1, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S1, Class A2 confirmed at AA (sf)
-- Mortgage-Backed Notes, Series 2022-S1, Class M upgraded to A (sf) from A (high) (sf)

Finance of America Structured Securities Trust 2022-S2
-- Mortgage-Backed Notes, Series 2022-S2, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S2, Class A2 upgraded to AA (high) (sf) from AA (sf)

Finance of America Structured Securities Trust 2022-S3
-- Mortgage-Backed Notes, Series 2022-S3, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S3, Class A2 upgraded to AAA (sf) from AA (sf)
-- Mortgage-Backed Notes, Series 2022-S3, Class M upgraded to AA (low) (sf) from A (sf)

Finance of America Structured Securities Trust 2022-S4
-- Mortgage-Backed Notes, Series 2022-S4, Class A1A confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S4, Class A1B confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S4, Class A2A confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S4, Class A2B upgraded to AA (sf) from AA (high) (sf)
-- Mortgage-Backed Notes, Series 2022-S4, Class M upgraded to A (sf) from A (high) (sf)

Finance of America Structured Securities Trust 2022-S5
-- Mortgage-Backed Notes, Series 2022-S5, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S5, Class A2 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S5, Class A3 upgraded to AA (sf) from AA (low) (sf)
-- Mortgage-Backed Notes, Series 2022-S5, Class M1 upgraded to A (high) (sf) from A (sf)
-- Mortgage-Backed Notes, Series 2022-S5, Class M2 upgraded to BBB (high) (sf) from BBB (sf)

Finance of America Structured Securities Trust 2022-S6
-- Mortgage-Backed Notes, Series 2022-S6, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S6, Class A2 upgraded to AA (sf) from AA (low) (sf)
-- Mortgage-Backed Notes, Series 2022-S6, Class M1 upgraded to A (high) (sf) from A (sf)
-- Mortgage-Backed Notes, Series 2022-S6, Class M2 confirmed at BBB (sf)
-- Mortgage-Backed Notes, Series 2022-S6B, Class 2A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S6B, Class 2A2 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-S6B, Class 2A3 confirmed at AA (low) (sf)
-- Mortgage-Backed Notes, Series 2022-S6B, Class 2M1 confirmed at A (sf)
-- Mortgage-Backed Notes, Series 2022-S6B, Class 2M2 confirmed at BBB (sf)

Finance of America Structured Securities Trust 2023-S1
-- Mortgage-Backed Notes, Series 2023-S1, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2023-S1, Class A2 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2023-S1, Class A3 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2023-S1, Class A4 confirmed at AA (low) (sf)
-- Mortgage-Backed Notes, Series 2023-S1, Class M confirmed at A (sf)

Finance of America Structured Securities Trust 2023-S2
-- Mortgage-Backed Notes, Series 2023-S2, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2023-S2, Class A2 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2023-S2, Class A3 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2023-S2, Class A4 confirmed at AA (low) (sf)
-- Mortgage-Backed Notes, Series 2023-S2, Class M confirmed at A (sf)

Finance of America Structured Securities Trust JR2, Series 2019-JR1
-- Mortgage-Backed Notes, Series 2019-JR1, Class A confirmed at AAA (sf)

Finance of America Structured Securities Trust JR2, Series 2019-JR2
-- Mortgage-Backed Notes, Series 2019-JR2, Class A1 confirmed at AAA (sf)

Finance of America Structured Securities Trust JR2, Series 2019-JR3
-- Mortgage-Backed Notes, Series 2019-JR3, Class A confirmed at AAA (sf)

Finance of America Structured Securities Trust JR2, Series 2019-JR4
-- Mortgage-Backed Notes, Series 2019-JR4, Class A confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2019-JR4, Class M1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2019-JR4, Class M2 upgraded to AAA (sf) from AA (high) (sf)
-- Mortgage-Backed Notes, Series 2019-JR4, Class M3 upgraded to AA (high) (sf) from AA (sf)

Finance of America Structured Securities Trust JR2, Series 2021-JR1
-- Mortgage-Backed Notes, Series 2021-JR1, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2021-JR1, Class A2 confirmed at AA (sf)

Finance of America Structured Securities Trust, Series 2020-S3
-- Mortgage-Backed Notes, Series 2020-S3, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2020-S3, Class A2 confirmed at AAA (sf)

Finance of America Structured Securities, Series 2018-JR1
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Ard confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Bru confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Cas confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Dre confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Ede confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Fra confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Geo confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Har confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Irv confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR1, Class A-Jan confirmed at AAA (sf)

Ocwen Loan Investment Trust 2023-HB1
-- Asset-Backed Notes, Series 2023-HB1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2023-HB1, Class M1 upgraded to AA (high) (sf) from AA (low) (sf)
-- Asset-Backed Notes, Series 2023-HB1, Class M2 upgraded to A (high) (sf) from A (low) (sf)
-- Asset-Backed Notes, Series 2023-HB1, Class M3 upgraded to BBB (sf) from BBB (low) (sf)
-- Asset-Backed Notes, Series 2023-HB1, Class M4 upgraded to BB (sf) from BB (low) (sf)
-- Asset-Backed Notes, Series 2023-HB1, Class M5 confirmed at B (sf)

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

Morningstar DBRS’ credit 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.

Morningstar DBRS notes that Reverse Mortgage Funding, LLC (RMF) filed for Chapter 11 bankruptcy protection on November 30, 2022. Subsequently, RMF obtained court approvals and funding to allow it to continue its servicing operations, including collecting servicing fees and making advances. Details can be found in the December 13, 2022, press release titled “DBRS Morningstar Comments on Impact of RMF’s Bankruptcy on Rated Securitizations.”

In accordance with the analysis outlined in the above press release, Morningstar DBRS made adjustments to its surveillance reviews of the rated RMF securitizations to account for a potential servicing transfer. The adjustments pertain to (1) increases in servicing fees and (2) to the extent applicable, such fees and reimbursement of servicing advances being moved to the top of the waterfall, ahead of any payments to the notes. The resulting credit rating actions reflect the incorporation of the above adjustments.

Morningstar DBRS recognizes the uncertainties surrounding RMF’s bankruptcy proceedings and the potential challenges it may have on the rated securitizations as described above. Morningstar DBRS will continue to monitor the ongoing developments in the bankruptcy proceedings and transaction performance, conduct pool-level credit analysis, and take appropriate credit rating actions as warranted.

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

Environmental (E) Factors
There were no Environmental factor(s) that had a relevant or significant effect on the credit analysis.

Social (S) Factors
There were no Social factor(s) that had a relevant or significant effect on the credit analysis.

Governance (G) Factors
There were no Governance factor(s) that had a relevant or significant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the Morningstar DBRS Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings (January 23, 2024) https://dbrs.morningstar.com/research/427030/morningstar-dbrs-criteria:-approach-to-environmental,-social,-and-governance-risk-factors-in-credit-ratings.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is Rating and Monitoring U.S. Reverse Mortgage Securitizations (July 17, 2023), https://dbrs.morningstar.com/research/417277.

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of a third party.

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

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

This is a solicited credit rating.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at: https://dbrs.morningstar.com/about/methodologies.

-- Interest Rate Stresses for U.S. Structured Finance Transactions (February 26, 2024), https://dbrs.morningstar.com/research/428623
-- Legal Criteria for U.S. Structured Finance (December 7, 2023), https://dbrs.morningstar.com/research/425081