New York–(work wire) – KBRA assigns initial ratings to 36 classes of mortgage pass certification from the Wells Fargo Mortgage Backed Securities 2022-1 Trust (WFMBS 2022-1). The Wells Fargo Mortgage-Backed Securities Fund 2022-1 (WFMBS 2022-1) is a master RMBS transaction of 691 residential mortgage loans with a total principal balance of approximately $463.0 million as of January 1, 2022. The underlying security consists of 30-year fixed rate (FRMs) and includes non-agency loans (0.6%) and eligible agency loans (99.4%).
KBRA’s rating approach included analysis of the loan level of the mortgage pool through its KBRA RMBS credit model, examination of due diligence results in a third party loan file, cash flow modeling analysis of the transaction payment structure, reviews of key transaction parties and evaluation and documentation of the legal structure of the transaction. 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 affect 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 about 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 about 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 UK Financial Conduct Authority under the 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.