KBRA Assigns Preliminary Ratings to Cascade Funding Mortgage Trust 2018-RM2 (CFMT 2018-RM2)

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage backed notes as well as the Variable Funding Note (VFN) from Cascade Funding Mortgage Trust 2018-RM2 (CFMT 2018-RM2), the first publicly-rated issuance of RMBS backed by active proprietary reverse mortgages since 2007.

CFMT 2018-RM2 is a securitization of 915 active, proprietary reverse mortgage loans originated between 2002 and 2008 with an average of 132 months of seasoning. The $571.8 million of underlying loans were originated by several legacy reverse mortgage lenders and subsequently aggregated by Waterfall Asset Management (WAM) over a period of eight years via acquisition of assets from several entities. The majority of the loans are adjustable rate based on 6-month USD LIBOR with a weighted average margin of 3.57%. The WA KBRA LTV (KLTV) is 63.8%, which accounts for loan accruals and KBRA’s evaluation of BPO valuations provided by the sponsor and KBRA calculated HPI-indexed origination values in the first half of 2018. 491 of the loans have future draw availability in an aggregate amount of $37.8 million. As of cut-off, all loans are active (there are no deceased borrowers) and no loans are in default for payment of taxes, insurance, occupancy, or property maintenance.

Approximately 84% of the portfolio is serviced by Compu-Link Corporation (Celink) and approximately 16% is serviced by Reverse Mortgage Solutions (RMS). WAM serves as Asset Manager, providing servicer oversight in addition to other obligations as discussed within the report. In aggregate, loans in the pool have 6.6% of the initial balance in additional line of credit availability. Like all reverse mortgages, the assets are negatively amortizing with interest payments capitalized onto the loan balance over time (at inception the portfolio had an original balance of $348.7 million). The Class A notes are paid interest when due, but the subordinate notes accrue and capitalize interest over time.

KBRA’s analysis of the transaction included a loan-level analysis of the mortgage pool using our KBRA Reverse Mortgage Model (KRMM), an analysis of historical reverse mortgage performance data, results of independent third-party review firms, cashflow modeling of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. The analysis is further described in our Reverse Mortgage Securitization Global Rating Methodology.

For complete details on the analysis, please see our pre-sale report, Cascade Funding Mortgage Trust 2018-RM2, which was published on October 31, 2018 on www.kbra.com

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Contacts

Analytical:
Edward DeVito, (646) 731-2319
Senior Director
edevito@kbra.com
or
Ryon Aguirre, (646) 731-2382
Associate Director
raguirre@kbra.com
or
Jack Kahan, (646) 731-2486
Managing Director
jkahan@kbra.com

Contacts

Analytical:
Edward DeVito, (646) 731-2319
Senior Director
edevito@kbra.com
or
Ryon Aguirre, (646) 731-2382
Associate Director
raguirre@kbra.com
or
Jack Kahan, (646) 731-2486
Managing Director
jkahan@kbra.com