NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 27 mortgage transfer certificate classes of New Residential Mortgage Loan Trust 2021-INV1 (NRMLT 2021-INV1), the sponsor’s first transaction fully secured by investment property and loans that were taken out under agency guidelines. The pool comprises 1,230 fixed rate first residential mortgages with a total principal balance of $ 337.0 million as of the August 1, 2021 deadline. The pool is characterized by significant borrower equity in each property mortgaged, as evidenced by the initial WA LTV of 62.7%. The initial weighted average credit score is 772, which is well within the range for prime mortgages.
KBRA’s scoring approach included loan-level analysis of the mortgage pool through its KBRA RMBS credit model, review of due diligence results of third-party loan files, cash flow modeling analysis the payment structure of the transaction, reviews of key parties to the transaction, and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.
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Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an improvement or a downgrade, and ESG factors (when they are a factor). key to the change in credit rating or rating outlook) can be found in the full assessment report mentioned above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine The credit rating is available in the Information Disclosure Form (s) located here.
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Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA’s policies, methodologies, rating scales and disclosures are available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.