KBRA Assigns Preliminary Rating to NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns a preliminary rating of ‘BBB- (sf)’ to the Series 2020-PLS1 Term Notes from NRZ Excess Spread-Collateralized Notes. The Notes will be issued pursuant to a Master Credit Agreement (Agreement) by and among the Issuers and Collateral Agent/Note Registrar/Paying Agent. The notes represent the joint and several obligations of the Issuers to make monthly scheduled payments of interest and principal. The transaction is supported by a guarantee by the Guarantor, NRZ (KBRA Rating: BB+/Negative), to cover both timely payments of interest and scheduled principal. The assets represent a portion of fees and income payable to the Servicers for servicing non-agency mortgage loans owned by various entities and generally included in legacy private label securities (PLS) RMBS transactions. This is the first KBRA rated transaction backed by PLS mortgage servicing rights.

The rating is primarily dependent on the credit rating of NRZ (KBRA Rating: BB+/Negative) as Guarantor in support of the Issuers’ payment obligations and rights to MSRs, with certain transaction features listed under Key Transaction Features below providing one notch uplift on the rating of the notes. The obligations of the Guarantor are those of an obligor and a separate action may be brought to enforce the Guaranty whether or not the Issuers are joined in any such action.

KBRA’s rating approach for the rated notes utilized its Global Finance Company Rating Methodology (November 28, 2017) and also relied on its Global Structured Finance Counterparty Methodology (August 8, 2018).

KBRA’s Finance Company methodology incorporates an analysis of both business and financial factors in determining ratings. Some of the business factors include (1) Market Share, Branding and Viability, (2) Risk Management, and (3) Economic and Operational risks. Some financial factors include (1) Profitability (2) Liquidity and Funding (3) Leverage and Capital Adequacy and (4) Asset Quality.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.

Contacts

Analytical Contacts

Sharif Mahdavian, Managing Director (Lead Analyst)
+1 (646) 731-2301
smahdavian@kbra.com

Ian Jaffe, Managing Director
+1 (646) 731-3302
ijaffe@kbra.com

Jack Kahan, Senior Managing Director
+1 (646) 731-2486
jkahan@kbra.com

Joe Scott, Managing Director (Rating Committee Chair)
+1 (646) 731-2438
jscott@kbra.com

Business Development Contact

Nish Kumar, Senior Director
+1 (646) 731-3372
nkumar@kbra.com

Contacts

Analytical Contacts

Sharif Mahdavian, Managing Director (Lead Analyst)
+1 (646) 731-2301
smahdavian@kbra.com

Ian Jaffe, Managing Director
+1 (646) 731-3302
ijaffe@kbra.com

Jack Kahan, Senior Managing Director
+1 (646) 731-2486
jkahan@kbra.com

Joe Scott, Managing Director (Rating Committee Chair)
+1 (646) 731-2438
jscott@kbra.com

Business Development Contact

Nish Kumar, Senior Director
+1 (646) 731-3372
nkumar@kbra.com