KBRA Assigns Preliminary Ratings to Cascade Funding Mortgage Trust 2019-RM3 (CFMT 2019-RM3)

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 2019-RM3 (CFMT 2019-RM3), the second publicly-rated issuance of RMBS backed by active proprietary reverse mortgages since 2007, and the first containing a portion of inactive loans.

CFMT 2019-RM3 is a securitization of 483 active and inactive, proprietary reverse mortgage loans originated between 2002 and 2008 with an average of 144 months of seasoning. The $377.5 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 3.80%. The WA KBRA LTV (KLTV) is 87.1%, which accounts for loan accruals and KBRA’s evaluation of BPO and appraisal valuations provided by the sponsor and KBRA calculated HPI-indexed origination values. 240 of the loans have future draw availability in an aggregate amount of $84.1 million. As of cut-off, 464 loans are active, with remainder having experienced a repayment event or in default.

Approximately 76.0% of the portfolio is serviced by Compu-Link Corporation (Celink) and approximately 24.0% 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. 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 $144.7 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 2019-RM3, which was published on June 19, 2019 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. KBRA is also 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, Managing Director
+1 (646) 731-2319
edevito@kbra.com

Gopal Narsimhamurthy, Director
+353 (1) 588 1245
gnarsimhamurthy@kbra.com

Fei Han, Analyst
+1 (646) 731 2342
fhan@kbra.com

Jack Kahan, Senior Managing Director
+1 (646) 731-2486
jkahan@kbra.com

Contacts

Analytical:
Edward DeVito, Managing Director
+1 (646) 731-2319
edevito@kbra.com

Gopal Narsimhamurthy, Director
+353 (1) 588 1245
gnarsimhamurthy@kbra.com

Fei Han, Analyst
+1 (646) 731 2342
fhan@kbra.com

Jack Kahan, Senior Managing Director
+1 (646) 731-2486
jkahan@kbra.com