NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns a preliminary rating of ‘BBB- (sf)’ to the Series 2020-FHT1 Term Notes from NRZ MSR-COLLATERALIZED NOTES, New Residential Mortgage LLC (NRM) and NRZ FHT Excess LLC’s issuance pursuant to a Master Credit Agreement backed by mortgage servicing rights (MSRs) and Aggregate Excess Spread, as applicable, pledged by the issuers to the Collateral Agent in support of the issuers’ payment obligations. The assets are related to Freddie Mac-owned mortgage loans that are serviced by NRM pursuant to a servicing contract between NRM and Freddie Mac.
KBRA’s rating on the Series 2020-FHT1 Term Notes 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 granted by Freddie to the Issuers subject to Freddie Mac’s priority claims, with certain transaction features described more fully in KBRA’s presale report providing one notch uplift on the rating of the notes. Generally, these transaction features are factors that KBRA believes reduce the risk of servicer termination or transfer by Freddie Mac which include but are not limited to (i) the pre-existing relationship between Freddie Mac, the Servicer and Subservicers, (ii) a tri-party acknowledgement agreement which includes NRZ, Freddie Mac, the Issuers, and the Collateral Agent (iii) collateral coverage triggers to pay down notes or add collateral as applicable, and (iv) the diversity of subservicers available to undertake direct servicing responsibilities.
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.
- New Residential Investment Corp. Rating Report
- Global Finance Company Rating Methodology
- Global Structured Finance Counterparty Methodology
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.
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.
Sharif Mahdavian, Managing Director (Lead Analyst)
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Ian Jaffe, Managing Director
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Jack Kahan, Senior Managing Director
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Joe Scott, Managing Director (Rating Committee Chair)
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Nish Kumar, Senior Director
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