KBRA Affirms and Upgrades Ratings from 23 RMBS Transactions
25 Oct 2024 | New York
KBRA recently reviewed the ratings from 23 RMBS transactions, resulting in 557 rating affirmations and 38 rating upgrades. The related transactions are listed further below with links to the appropriate page on kbra.com which show the applicable resulting ratings. The affirmations reflect generally stable collateral and structure performance, as evidenced by increased credit support for rated classes and minimal losses since issuance. The rating upgrades considered each security’s credit support relative to KBRA’s updated loss expectations, as well as the generally positive performance trends exhibited by the related underlying pool since issuance.
KBRA performed its analysis in accordance with its RMBS methodology. In performing these rating actions, KBRA considered transaction performance to date, updated home values via home price indexation, updated expected loss estimates, and capital structure behavior under various cash flow stress scenarios, where applicable. The rating actions, along with related deal and tranche performance information, are available in spreadsheet form in the accompanying KBRA RMBS Surveillance KCAT report.
Certain subordinate classes of the transactions listed below may have experienced losses and/or interest shortfalls. However, KBRA notes that none of the rated classes have experienced losses.
We note that, in general, these RMBS assets and liabilities can have long weighted average lives and structural features that provide for changes in payment priority over time. KBRA often considers seasoning in determining the extent of positive rating actions effectuated in a manner that also considers a transaction’s structure. This includes features such as the remaining size of more senior certificates, principal payments to subordinate tranches, and credit enhancement floor provisions. These features are weighed against, among other things, the tenor of the rated classes and the length of performance history associated with the collateral pool. In light of these considerations, KBRA has taken the rating actions as discussed above, determining that the rated classes were able to withstand the rating stresses applied within an acceptable tolerance.
For additional information regarding a specific transaction, see the list below to access ratings, reports, and disclosures:
- A&D Mortgage Trust 2023-NQM4 (ADMT 2023-NQM4)
- Bayview MSR Opportunity Master Fund Trust 2021-INV5 (BVINV 2021-5)
- CROSS 2023-H2 Mortgage Trust
- CSMC 2021-NQM7 Trust
- Ellington Financial Mortgage Trust 2020-2 (EFMT 2020-2)
- Flagstar Mortgage Trust 2019-1INV (FSMT 2019-1INV)
- GS Mortgage-Backed Securities Trust 2021-HP1 (GSMBS 2021-HP1)
- J.P. Morgan Mortgage Trust 2021-INV6 (JPMMT 2021-INV6)
- J.P. Morgan Mortgage Trust 2023-9 (JPMMT 2023-9)
- Morgan Stanley Residential Mortgage Loan Trust 2021-6 (MSRM 2021-6)
- Morgan Stanley Residential Mortgage Loan Trust 2023-NQM1 (MSRM 2023-NQM1)
- PMT Loan Trust 2021-INV1 (PMTLT 2021-INV1)
- Sequoia Mortgage Trust 2013-2 (SEMT 2013-2)
- Sequoia Mortgage Trust 2013-3 (SEMT 2013-3)
- Sequoia Mortgage Trust 2015-1 (SEMT 2015-1)
- Sequoia Mortgage Trust 2017-CH2 (SEMT 2017-CH2)
- Sequoia Mortgage Trust 2020-4 (SEMT 2020-4)
- Sequoia Mortgage Trust 2023-4 (SEMT 2023-4)
- TRK 2021-INV2 Trust
- UWM Mortgage Trust 2021-INV3 (UWM 2021-INV3)
- Wells Fargo Mortgage Backed Securities 2021-INV1 Trust (WFMBS 2021-INV1)
- WinWater Mortgage Loan Trust 2015-1 (WIN 2015-1)
- WinWater Mortgage Loan Trust 2015-2 (WIN 2015-2)