NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary ratings to ten classes of mortgage-backed notes from New Residential Mortgage Loan Trust (NRMLT 2015-1), a note issuance backed by seasoned, generally performing mortgages.
The underlying NRMLT 2015-1 mortgage pool comprises 1,439 first-lien, residential loans with an aggregate stated principal balance of $333,453,586 as of the cut-off date. NRMLT 2015-1 is the fourth transaction under the NRMLT shelf name which transactions, since 2014, have pooled together subsets of generally performing mortgage loans by exercising optional terminations on early 2000s vintage RMBS. The pool is composed of predominantly fully-amortizing, fixed-rate mortgages (FRMs), the majority of which have 30-year maturities. However, 16.9% out of the 90.8% of the fixed rate loans have terms shorter than 360 months and are mainly 15 year amortization. The most unique credit aspect of the borrowers in the NRMLT 2015-1 pool is the substantial equity in their mortgaged property, as evidenced by the weighted average (WA) loan-to-value ratio (LTV) of 44.6% and WA CLTV 45.0%, as calculated by KBRA. Borrower credit quality, as indicated by the WA updated FICO scores as calculated by KBRA, are most similar to those associated with so-called “Alt-A” lending standards with WA FICO scores at origination of approximately 721 which have decreased slightly to a WA FICO of 715. Approximately 71.2% of the pool has never been modified and has not been delinquent once in the most recent 24 months using the MBA method for calculating delinquency.
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 loan file reviews performed by independent third-party firms, 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.
For complete details on the analysis, please see our Pre-Sale Report, New Residential Mortgage Loan Trust 2015-1, which was published on June 17, 2015 at www.krollbondratings.com.
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).