DBRS Morningstar Assigns Ratings to 23 U.S. RMBS Transactions

DBRS, Inc. (DBRS Morningstar) assigned ratings to 75 classes from 23 U.S. residential mortgage-backed securities (RMBS) transactions.

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

Finance of America Structured Securities Trust, Series 2018-JR2
-- Mortgage-Backed Notes, Series 2018-JR2 Class A1 at AAA (sf)
-- Mortgage-Backed Notes, Series 2018-JR2 Class A-VFN at AAA (sf)

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

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

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

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

Finance of America Structured Securities Trust JR2, Series 2020-JR3
-- Mortgage-Backed Notes, Series 2020-JR3 Class A1 at AAA (sf)
-- Mortgage-Backed Notes, Series 2020-JR3 Class A2 at AAA (sf)

Finance of America Structured Securities Trust JR2, Series 2020-JR4
-- Mortgage-Backed Notes, Series 2020-JR4 Class A1 at AAA (sf)
-- Mortgage-Backed Notes, Series 2020-JR4 Class A2 at AAA (sf)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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 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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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].