KBRA Affirms Ratings on 18 Finance of America Reverse Mortgage Transactions
7 Jun 2024 | New York
KBRA has reviewed the ratings assigned to 18 Finance of America proprietary reverse mortgage transactions, resulting in 28 rating affirmations. The related transactions are listed below with links to their transaction pages which show the applicable rating actions. The affirmations reflect generally stable collateral and structure performance, as evidenced by increased credit support for rated classes and minimal losses since issuance. In performing these rating actions, KBRA considered underlying collateral performance, changes to the age and gender composition of the pools, changes to the values of the properties as a result of home price index movements, changes to the loan balances as interest accruals are added to the loan principal balances over time, deal structure and credit enhancement levels. The rating actions, along with related deal and tranche performance information, are available in spreadsheet form in the accompanying KBRA Supplemental Ratings Data file.
KBRA performed its analysis in accordance with its Reverse Mortgage Securitisation Global Rating Methodology. KBRA has analyzed the transactions through its KBRA Reverse Mortgage Analytical Tool and KBRA generally utilized the same set of asset analysis stress assumptions and cash flow scenarios described within our new issue rating report – specifically relating to home price decline stresses and timing, age setbacks, and liquidation assumptions. With respect to assumptions relating to interest rate stresses and prepayment assumptions, KBRA’s analysis may incorporate updated assumptions depending on observed rates. For transactions with floating rate collateral or notes, KBRA’s cash flow analysis incorporated interest rate stress scenarios for each rating level which test rating sensitivity to rates remaining flat, increasing, or decreasing.
KBRA has observed lifetime all-in prepayment rates for the related transactions ranging between approximately 4% and 23%. Recently, average prepayment rates have been somewhat slower, with 3 Month CPRs ranging between approximately 1% and 23%. Based on the originator’s loan originations and historical performance, KBRA evaluated each transaction utilizing two scenarios of flat lifetime non-mortality repayment rates at 2% and at 7%. In addition, for certain transactions which have experienced elevated prepayments historically, KBRA also considered cash flow sensitivity scenarios where we applied additional elevated repayment rates that increase to peak rates of 40% in our ‘AA’ stress scenarios and higher than 40% in our ‘AAA’ stress scenarios. After these peak rates, both stress scenario curves return to a flat rate of 15%. The notes were able to withstand their applicable rating stress within acceptable tolerances.
For additional information regarding a specific transaction, see the list below to access ratings, reports, and disclosures:
- Finance of America Structured Securities Trust JR2, Series 2019-JR1 (FASST 2019-JR1)
- Finance of America Structured Securities Trust JR2, Series 2019-JR2 (FASST 2019-JR2)
- Finance of America Structured Securities Trust JR2, Series 2019-JR3 (FASST 2019-JR3)
- Finance of America Structured Securities Trust JR2, Series 2019-JR4 (FASST 2019-JR4)
- Finance of America Structured Securities Trust JR2, Series 2020-JR2 (FASST 2020-JR2)
- Finance of America Structured Securities Trust JR2, Series 2021-JR1 (FASST 2021-JR1)
- Finance of America Structured Securities Trust, Series 2021-S1 (FASST 2021-S1)
- Finance of America Structured Securities Trust, Series 2021-S2 (FASST 2021-S2)
- Finance of America Structured Securities Trust, Series 2021-S3 (FASST 2021-S3)
- Finance of America Structured Securities Trust, Series 2022-S1 (FASST 2022-S1)
- Finance of America Structured Securities Trust, Series 2022-S3 (FASST 2022-S3)
- Finance of America Structured Securities Trust, Series 2022-S4 (FASST 2022-S4)
- Finance of America Structured Securities Trust, Series 2022-S5 (FASST 2022-S5)
- Finance of America Structured Securities Trust, Series 2022-S6 (FASST 2022-S6)
- Finance of America Structured Securities Trust, Series 2023-S1 (FASST 2023-S1)
- Finance of America Structured Securities Trust, Series 2023-S3 (FASST 2023-S3)
- Finance of America Structured Securities Trust, Series 2024-S1 (FASST 2024-S1)
- Finance of America Structured Securities Trust, Series 2024-S2 (FASST 2024-S2)