NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 36 classes of mortgage transfer certificates from Wells Fargo Mortgage Backed Securities Trust 2021-1 (WFMBS 2021-1). KBRA notes that this transaction is commercialized during the global coronavirus pandemic (COVID-19) and that none of the loans are on an active forbearance plan by the deadline.
Wells Fargo Mortgage Backed Securities Trust 2021-1 (WFMBS 2021-1) is a premier RMBS transaction comprising 390 residential mortgages with a total principal balance of $ 404.1 million as of the March 1, 2021 deadline. The underlying collateral consists entirely of non-conforming, fully amortizing fixed rate mortgages, all of which have been designated as Qualified Mortgages (QMs).
KBRA’s scoring approach incorporated a loan-level analysis of the mortgage pool through its US RMBS mortgage default and loss model, a review of the results of due diligence of third-party loan files, a modeling analysis of cash flow of the transaction payment structure, reviews of key transaction parties 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.
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 upgrade or downgrade, ESG factors (when they are a major driver of credit rating change or rating outlook) can be viewed in the full rating 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 relevant key rating assumptions, if any) used to determine the credit rating is available in the information disclosure form (s) located here.
Information on the meaning of each rating category can be located here.
Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found 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.