New York–(work wire) — KBRA assigns preliminary ratings to six classes of mortgage pass-through from New Residential Mortgage Loan Trust 2022-NQM1 (NRMLT 2022-NQM1), a $257.2 million non-core RMBS deal sponsored by New Residential Investment Corp. The core collateral, consisting of 430 home mortgages, features a large concentration of loans secured using alternative income documents. Borrowers in the subject group have a non-zero Western Australian original credit score of 752 and demonstrate significant equity in each mortgaged property, with combined WA LTV and LTV (CLTV) ratios of 71.8% and 71.9%, respectively.
KBRA’s rating approach included loan level analysis of the mortgage pool through its RMBS credit model, an examination of the results of due diligence in the third-party loan file conducted at the time of loan creation, cash flow modeling analysis of the transaction payment structure and reviews of key transaction parties and an appraisal The legal structure of the transaction and its documentation. This analysis is described in more detail in the American RMBS Rating Methodology.
Click here to view the article. To access the relevant classifications and documents, click here.
More information on key credit considerations, sensitivity analyzes that consider factors that can influence these credit ratings and how they might lead to an upgrade or downgrade of a credit rating, and ESG factors (where they are a major driver behind a change in credit rating or rating expectations) In the full classification report referenced above.
A description of all material sources that were used to prepare the credit rating and information on the methodology(s) (including any physical models and sensitivity analyzes of relevant key rating assumptions, as applicable) used in determining the credit rating is provided. In the information disclosure form(s) found here.
Information about the meaning of each taxonomy category can be found here.
Other disclosures relating to this classification procedure are available in the Information Disclosure Form(s) referred to above. Additional information regarding KBRA’s policies, methodologies, rating metrics, and disclosures is available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the US Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Ltd is registered as a CRA with the Financial Conduct Authority in the UK under a provisional registration scheme. In addition, the KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to offer a short prospectus or an off-the-shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.