Morningstar DBRS Takes Credit Rating Actions on 27 U.S. RMBS Transactions

DBRS, Inc. (Morningstar DBRS) reviewed 143 classes from 27 U.S. residential mortgage-backed securities (RMBS) transactions. Of the 143 classes reviewed, Morningstar DBRS upgraded 27 credit ratings, confirmed 105 credit ratings, and discontinued 11 credit ratings.

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 upgrade to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-2 upgrade to A (high) (sf) from A (sf)
-- Asset-Backed Notes, Series 2022-2, Class M-3 upgrade to BBB (high) (sf) from 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 upgrade to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2022-3, Class M-2 upgrade to AA (high) (sf) from A (sf)
-- Asset-Backed Notes, Series 2022-3, Class M-3 confirmed at BBB (sf)

Brean Asset-Backed Securities Trust 2023-RM6
-- Mortgage-backed Notes, Series 2023-RM6, Class A1 confirmed at AAA (sf)
-- Mortgage-backed Notes, Series 2023-RM6, Class A2 confirmed at AAA (sf)
-- Mortgage-backed Notes, Series 2023-RM6, Class AM confirmed at AAA (sf)
-- Mortgage-backed Notes, Series 2023-RM6, Class M1 confirmed at AA (sf)
-- Mortgage-backed Notes, Series 2023-RM6, Class M2 confirmed at A (sf)
-- Mortgage-backed Notes, Series 2023-RM6, Class M3 confirmed at BBB (sf)
-- Mortgage-backed Notes, Series 2023-RM6, Class M4 confirmed at BB (sf)
-- Mortgage-backed Notes, Series 2023-RM6, 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 confirmed at A (high) (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class E confirmed at A (low) (sf)
-- Mortgage-Backed Securities, Series 2018-RM2, Class F confirmed at BB (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)

CFMT 2020-AB1, LLC
-- Asset-Backed Notes, Series 2020-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-1 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-2 upgraded to AA (high) (sf) from AA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-3 upgraded to A (high) (sf) from A (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-4 upgraded to BBB (high) (sf) from BBB (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 upgraded to AAA (sf) from AA (sf)
-- Asset-Backed Notes, Series 2022-1, Class M2 upgraded to AA (sf) from A (high) (sf)
-- Asset-Backed Notes, Series 2022-1, Class M3 upgraded to AA (low) (sf) from A (sf)
-- Asset-Backed Notes, Series 2022-1, Class M4 upgraded to A (low) (sf) from BBB (sf)
-- Asset-Backed Notes, Series 2022-1, Class M5 upgraded to BB (high) (sf) from BB (low) (sf)

CFMT 2021-HB5, LLC
-- Asset-Backed Notes, Series 2021-1, Class A discontinued
-- Asset-Backed Notes, Series 2021-1, Class M1 discontinued
-- Asset-Backed Notes, Series 2021-1, Class M2 discontinued
-- Asset-Backed Notes, Series 2021-1, Class M3 discontinued
-- Asset-Backed Notes, Series 2021-1, Class M4 discontinued

CFMT 2021-HB6, LLC
-- Asset-Backed Notes, Series 2021-2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-2, Class M1 upgraded to AAA (sf) from AA (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M2 upgraded to A (high) (sf) from A (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M3 upgraded to BBB (high) (sf) from BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M4 upgraded to BB (high) (sf) from BB (low) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M5 upgraded to BB (sf) from B (high) (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 upgraded to AA (sf) from AA (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M2 upgraded to A (sf) from A (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M3 upgraded to BBB (sf) from BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M4 upgraded to BB (sf) from BB (low) (sf)
-- Asset-Backed Notes, Series 2021-3, Class M5 upgraded to B (high) (sf) from 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)

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 2023-HB11, LLC
-- Asset-Backed Notes, Series 2023-1, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2023-1, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2023-1, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2023-1, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2023-1, Class M4 confirmed at BB (high) (sf)
-- Asset-Backed Notes, Series 2023-1, Class M5 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2023-1, Class M6 confirmed at B (sf)

CFMT 2023-HB12, LLC
-- Asset-Backed Notes, Series 2023-2, Class A confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2023-2, Class M1 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2023-2, Class M2 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2023-2, Class M3 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2023-2, Class M4 confirmed at BB (sf)
-- Asset-Backed Notes, Series 2023-2, Class M5 confirmed at BB (low) (sf)
-- Asset-Backed Notes, Series 2023-2, Class M6 confirmed at B (sf)

Finance of America HECM Buyout 2020-HB2
-- Asset-Backed Notes, Series 2020-HB2, Class A discontinued
-- Asset-Backed Notes, Series 2020-HB2, Class M1 discontinued
-- Asset-Backed Notes, Series 2020-HB2, Class M2 discontinued
-- Asset-Backed Notes, Series 2020-HB2, Class M3 discontinued
-- Asset-Backed Notes, Series 2020-HB2, Class M4 discontinued
-- Asset-Backed Notes, Series 2020-HB2, Class M5 discontinued

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 AAA (sf) from AA (high) (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class M2 upgraded to AA (sf) from AA (low) (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class M3 upgraded to A (sf) from A (low) (sf)
-- Asset-Backed Notes, Series 2020-HB1, Class M4 upgraded to BBB (high) (sf) from BBB (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 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M2 confirmed at AA (low) (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M3 confirmed at A (low) (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M4 confirmed at BBB (low) (sf)
-- Asset-Backed Notes, Series 2021-HB1, Class M5 confirmed at BB (low) (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)

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 confirmed at AAA (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 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-2 confirmed at AAA (sf)
-- Asset-Backed Notes, Series 2020-1, Class M-3 confirmed at A (low) (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 confirmed at AA (high) (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-2 confirmed at AA (sf)
-- Asset-Backed Notes, Series 2021-1, Class M-3 confirmed at BBB (high) (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 confirmed at AA (high) (sf)
-- Asset-Backed Notes, Series 2021-2, Class M-2 confirmed at A (high) (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)

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
There were no Environmental/Social/Governance factor(s) that had a significant or relevant 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.

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 ratings were initiated at the request of the rated entity.

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

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

These are solicited credit ratings.

DBRS, Inc.
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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 (June 9, 2023), https://dbrs.morningstar.com/research/415687
-- Legal Criteria for U.S. Structured Finance (7 December 2023), https://dbrs.morningstar.com/research/425081

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