NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage pass-through certificates from Invictus Capital Partners, LP’s (Invictus) inaugural non-prime RMBS securitization, Verus Securitization Trust 2017-1 (VERUS 2017-1). VERUS 2017-1 is the second shelf to issue a rated transaction backed by non-prime mortgages following the financial crisis.
The VERUS 2017-1 mortgage pool comprises 289 first-lien mortgage loans with an aggregate principal balance of $145.017 million as of the cut-off date. KBRA considers the underlying mortgage loans to have certain non-prime characteristics including borrowers with prior credit events (25.5%), loans using alternative income documentation sources such as bank statements (62.1%), investor/business-purpose loans (2.8%), and/or loans to foreign nationals (1.0%). A large portion of the pool is designated as either Non-QM (79.2%) or QM-Rebuttable Presumption (14.7%).
The underlying collateral consists of hybrid adjustable rate mortgages (91.8%) and fully-amortizing fixed-rate loans (8.2%), including interest only loans (5.8%) with five and 10-year interest only periods. Loans in the pool exhibit substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 69.9% and WA original CLTV of 70.0%, which are comparable to CLTVs in KBRA-rated prime jumbo deals in 2016. The weighted average original credit score is 708.
Invictus is a Washington D.C.-based specialized asset manager/investment advisor that sponsors a non-agency securitization platform founded in 2008. Invictus manages a private equity fund, Invictus Opportunity Fund, whose strategy focuses on investments in, and the aggregation and securitization of non-agency mortgage assets.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss Model, an examination of the results from third-party loan file due diligence, cash flow modeling, analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
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Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are contained in the offering documents when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled Verus Securitization Trust 2017-1 Representations and Warranties Disclosure
Related Publications and Articles: (available at www.kbra.com)
Mortgage Default and Loss Model, published January 16, 2015
U.S. RMBS Rating Methodology for Assessing Non-QM Risk, published April 22, 2014
U.S. RMBS Rating Methodology, published July 7, 2016
Credit Evolution – Non-Prime Isn’t Yesterday’s Subprime September 9, 2016
KBRA Expects TRID to Have Limited Impact on RMBS Enhancement Levels April 13, 2016
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).