DBRS Morningstar Takes Rating Actions on 32 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) reviewed 172 classes from 32 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 172 classes reviewed, DBRS Morningstar upgraded 35 ratings and confirmed 137.

Brean Asset-Backed Securities Trust 2021-RM2
-- Mortgage-Backed Notes, Series 2021-RM2, Class A confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2021-RM2, Class M1 confirmed at AA (sf)
-- Mortgage-Backed Notes, Series 2021-RM2, Class M2 confirmed at A (sf)
-- Mortgage-Backed Notes, Series 2021-RM2, Class M3 confirmed at BBB (sf)
-- Mortgage-Backed Notes, Series 2021-RM2, Class M4 confirmed at BB (sf)
-- Mortgage-Backed Notes, Series 2021-RM2, Class M5 confirmed at B (sf)

Brean Asset-Backed Securities Trust 2022-RM3
-- Mortgage-Backed Notes, Series 2022-RM3, Class A confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-RM3, Class M1 confirmed at AA (sf)
-- Mortgage-Backed Notes, Series 2022-RM3, Class M2 confirmed at A (sf)
-- Mortgage-Backed Notes, Series 2022-RM3, Class M3 confirmed at BBB (sf)
-- Mortgage-Backed Notes, Series 2022-RM3, Class M4 confirmed at BB (sf)
-- Mortgage-Backed Notes, Series 2022-RM3, Class M5 confirmed at B (sf)

Brean Asset-Backed Securities Trust 2022-RM4
-- Mortgage-Backed Notes, Series 2022-RM4, Class A1 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-RM4, Class A2 confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-RM4, Class AM confirmed at AAA (sf)
-- Mortgage-Backed Notes, Series 2022-RM4, Class M1 confirmed at AA (sf)
-- Mortgage-Backed Notes, Series 2022-RM4, Class M2 confirmed at A (sf)
-- Mortgage-Backed Notes, Series 2022-RM4, Class M3 confirmed at BBB (sf)
-- Mortgage-Backed Notes, Series 2022-RM4, Class M4 confirmed at BB (sf)
-- Mortgage-Backed Notes, Series 2022-RM4, Class M5 confirmed at B (sf)

Brean Asset-Backed Securities Trust 2022-RM5
-- Mortgage-backed Notes, Series 2022-RM5, Class A confirmed at AAA (sf)
-- Mortgage-backed Notes, Series 2022-RM5, Class M1 confirmed at AA (sf)
-- Mortgage-backed Notes, Series 2022-RM5, Class M2 confirmed at A (sf)
-- Mortgage-backed Notes, Series 2022-RM5, Class M3 confirmed at BBB (sf)
-- Mortgage-backed Notes, Series 2022-RM5, Class M4 confirmed at BB (sf)
-- Mortgage-backed Notes, Series 2022-RM5, Class M5 confirmed at B (sf)

Cascade Funding Mortgage Trust 2018-RM2
-- Mortgage-Backed Securities, Series 2018-RM2, Class A confirmed at AAA (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class B confirmed at AAA (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class C confirmed at AAA (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class D upgraded to A (high) (sf) from A (low) (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class E upgraded to A (low) (sf) from BBB (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class F upgraded to BB (sf) from B (high) (sf)

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 upgraded to AA (high) (sf) from AA (low) (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class E upgraded to A (high) (sf) from A (low) (sf)
-- Mortgage Backed Notes, Series 2019-RM3, Class F upgraded to A (sf) from BBB (low) (sf)

CFMT 2021-HB6, LLC
-- Asset-Backed Notes, Series 2021-2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-2, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M4 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M5 confirmed at B (high) (sf)

CFMT 2021-HB5, LLC:
-- Asset-Backed Notes, Series 2021-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-1, Class M1 upgraded to AAA (sf) from AA (low) (sf)
-- Asset-Backed Notes, Series 2021-1, Class M2 upgraded to AA (sf) from A (low) (sf)
-- Asset-Backed Notes, Series 2021-1, Class M3 upgraded to BBB (sf) from BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-1, Class M4 upgraded to BB (high) (sf) from BB (sf)

CFMT 2020-AB1, LLC
-- Asset-Backed Notes, Series 2020-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M1 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M2 confirmed at AA (high) (sf)
-- Asset-Backed Notes, Series 2020-1, Class M3 confirmed at A (sf)
-- Asset-Backed Notes, Series 2020-1, Class M4 upgraded to BBB (sf) from BBB (low) (sf)

CFMT 2020-HB4, LLC
-- Asset-Backed Notes, Series 2020-3, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-3, Class M1 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-3, Class M2 upgraded to AAA (sf) from AA (sf)
-- Asset-Backed Notes, Series 2020-3, Class M3 upgraded to AAA (sf) from A (sf)
-- Asset-Backed Notes, Series 2020-3, Class M4 upgraded to AA (sf) from BBB (sf)
-- Asset-Backed Notes, Series 2020-3, Class M5 upgraded to AA (low) (sf) from BBB (low) (sf)

CFMT 2021-HB7, LLC
-- Asset-Backed Notes, Series 2021-3, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-3, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M4 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M5 confirmed at B (sf)

CFMT 2022-HB9, LLC
-- Asset-Backed Notes, Series 2022-2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-2, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-2, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-2, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2022-2, Class M4 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2022-2, Class M5 confirmed at B (sf)

CFMT 2022-HB8, LLC
-- Asset-Backed Notes, Series 2022-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-1, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-1, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-1, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2022-1, Class M4 confirmed at BB (sf)
-- Asset-Backed Notes, Series 2022-1, Class M5 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2022-1, Class M6 confirmed at B (sf)

Cascade Funding Mortgage Trust 2022-AB2
-- Asset-Backed Notes, Series 2022-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-1, Class M1 confirmed at AA (sf)
-- Asset-Backed Notes, Series 2022-1, Class M2 confirmed at A (high) (sf)
-- Asset-Backed Notes, Series 2022-1, Class M3 confirmed at A (sf)
-- Asset-Backed Notes, Series 2022-1, Class M4 confirmed at BBB (sf)
-- Asset-Backed Notes, Series 2022-1, Class M5 confirmed at BB (low) (sf)

Cascade Funding Mortgage Trust 2022-RM4
-- Asset-Backed Notes, Series 2022-RM4, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-RM4, Class M-1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-RM4, Class M-2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-RM4, Class M-3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2022-RM4, Class M-4 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2022-RM4, Class M-5 confirmed at B (sf)

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)

Boston Lending Trust 2022-1
-- Asset-Backed Note, Series 2022-1, Class A confirmed at AAA (sf)
-- Asset-Backed Note, Series 2022-1, Class M-1 confirmed at AA (sf)
-- Asset-Backed Note, Series 2022-1, Class M-2 confirmed at A (sf)
-- Asset-Backed Note, Series 2022-1, Class M-3 confirmed at BBB (sf)

Boston Lending Trust 2022-2
-- Asset-Backed Notes, Series 2022-2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-1 confirmed at AA (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-2 confirmed at A (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-3 confirmed at BBB (sf)

Boston Lending Trust 2022-3
-- Asset-Backed Notes, Series 2022-3, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-3, Class M-1 confirmed at AA (sf)
-- Asset-Backed Notes, Series 2022-3, Class M-2 confirmed at A (sf)
-- Asset-Backed Notes, Series 2022-3, 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 confirmed at AA (high) (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M3 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M4 upgraded to A (high) (sf) from A (sf)
-- Asset-Backed Notes, Series 2020-HB2, Class M5 upgraded to A (sf) from A (low) (sf)

Finance of America HECM Buyout 2022-HB1
-- Asset-Backed Notes, Series 2022-HB1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M4 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M5 confirmed at B (sf)

Finance of America HECM Buyout 2022-HB2
-- Asset-Backed Notes, Series 2022-HB2, Class A1A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-HB2, Class A1B confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-HB2, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-HB2, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-HB2, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2022-HB2, Class M4 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2022-HB2, Class M5 confirmed at B (sf)

RMF Proprietary Issuance Trust 2019-1
-- Asset-Backed Notes, Series 2019-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2019-1, Class M-1 upgraded to AAA (sf) from AA (high) (sf)
-- Asset-Backed Notes, Series 2019-1, Class M-2 confirmed at AA (low) (sf)

RMF Proprietary Issuance Trust 2020-1
-- Asset-Backed Notes, Series 2020-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-1 upgraded to AAA (sf) from AA (high) (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-2 upgraded to AAA (sf) from AA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-3 upgraded to A (low) (sf) from BBB (sf)

RMF Proprietary Issuance Trust 2021-1
-- Asset-Backed Notes, Series 2021-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-1 upgraded to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-2 upgraded to AA (sf) from A (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-3 upgraded to BBB (high) (sf) from BBB (sf)

RMF Proprietary Issuance Trust 2021-2
-- Asset-Backed Notes, Series 2021-2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-2, Class M-1 upgraded to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2021-2, Class M-2 upgraded to A (high) (sf) from A (sf)
-- Asset-Backed Notes, Series 2021-2, Class M-3 confirmed at BBB (sf)

RMF Proprietary Issuance Trust 2022-1
-- Asset-Backed Notes, Series 2022-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-1, Class M-1 confirmed at AA (sf)
-- Asset-Backed Notes, Series 2022-1, Class M-2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-1, Class M-3 confirmed at BB (low) (sf)

RMF Proprietary Issuance Trust 2022-2
-- Asset-Backed Notes, Series 2022-2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-3 confirmed at BBB (low) (sf)

RMF Proprietary Issuance Trust 2022-3
-- Asset-Backed Notes, Series 2022-3, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-3, Class M-1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-3, Class M-2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-3, Class M-3 confirmed at BBB (low) (sf)

RMF Buyout Issuance Trust 2020-HB1
-- Asset-Backed Notes, Series 2020-HB1, Class A1 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class A2 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class AB confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class M1 upgraded to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class M2 upgraded to AA (low) (sf) from A (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class M3 upgraded to A (low) (sf) from BBB (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class M4 upgraded to BBB (sf) from BB (high) (sf)

RMF Buyout Issuance Trust 2021-HB1
-- Asset-Backed Notes, Series 2021-HB1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M1 upgraded to AAA (sf) from AA (low) (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M2 upgraded to AA (low) (sf) from A (low) (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M3 upgraded to A (low) (sf) from BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M4 upgraded to BBB (low) (sf) from BB (low) (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M5 upgraded to BB (low) (sf) from B (sf)

RMF Buyout Issuance Trust 2022-HB1
-- Asset-Backed Notes, Series 2022-HB1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M4 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2022-HB1, Class M5 confirmed at B (sf)

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.

DBRS Morningstar 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, DBRS Morningstar 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 rating actions reflect the incorporation of the above adjustments.

DBRS Morningstar recognizes the uncertainties surrounding RMF’s bankruptcy proceedings and the potential challenges it may have on the rated securitizations as described above. DBRS Morningstar will continue to monitor the ongoing developments in the bankruptcy proceedings and transaction performance, conduct pool-level credit analysis, and take appropriate 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, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factor(s) 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/dbrs-morningstar-criteria-approach-to-environmental-social-and-governance-risk-factors-in-credit-ratings (May 17, 2022).

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

The principal methodology applicable to the ratings is Rating and Monitoring U.S. Reverse Mortgage Securitizations (November 23, 2022; https://www.dbrsmorningstar.com/research/405660).

Other methodologies referenced in this transaction are listed at the end of this press release. These may be found at: https://www.dbrsmorningstar.com/about/methodologies.

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.

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

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

-- Interest Rate Stresses for U.S. Structured Finance Transactions (August 30, 2022),
https://www.dbrsmorningstar.com/research/402153/interest-rate-stresses-for-us-structured-finance-transactions
-- Legal Criteria for U.S. Structured Finance (December 7, 2022),
https://www.dbrsmorningstar.com/research/407008/legal-criteria-for-us-structured-finance
-- Operational Risk Assessment for U.S. RMBS Originators (November 23, 2022),
https://www.dbrsmorningstar.com/research/405664/operational-risk-assessment-for-us-rmbs-originators
-- Operational Risk Assessment for U.S. RMBS Servicers (November 23, 2022),
https://www.dbrsmorningstar.com/research/405665/operational-risk-assessment-for-us-rmbs-servicers

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