NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to eleven categories of mortgage transfer certificates of Provident Funding Mortgage Trust 2020-F1 (PFMT 2020-F1), a blue chip RMBS transaction.

The transaction is somewhat unique in that it is backed only by consumption-compliant 15-year fixed rate residential mortgages. All loans meet the requirements for Qualified Mortgage Loans (QMs) under the ATR rule. In addition to the unique composition of the pool of only 15 years of agency guarantee, the underlying borrowers are on average of particularly high credit quality. PFMT 2020-F1 includes the loans that have the highest WA FICO score as well as the lowest original WA CLTV from any of over 400 RMBS 2.0 transactions issued to date. As a result, KBRA’s model loss expectations are the lowest of any post-crisis deal it has assessed. No loan from the pool of guarantees in question is actively forbidden by the deadline. Loans are created and managed by Provident Funding Associates, LP.

KBRA’s scoring approach included a loan-level analysis of the mortgage pool through its residential mortgage default and loss model, a review of the results of due diligence of third-party loan files, an analysis of cash flow modeling of the transaction payment structure, reviews of key parts of the transaction. , an assessment of the legal structure and documentation of the transaction, as well as a historical comparative analysis of similar loans of high credit quality. This analysis is described in more detail in our US RMBS rating methodology.

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Disclosures

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, and ESG factors (where they are a key factor in changing the credit rating 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 the relevant key rating assumptions, if any) used to determine the credit rating is available in the United States Information Disclosure Form 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 US Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the United States Securities and Exchange Commission. 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 and is a credit rating agency (ARC) certified with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a rating agency.