KBRA assigns preliminary ratings to Angel Oak Mortgage Fund 2021-3 (AOMT 2021-3)

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NEW YORK–(Kroll Bond Rating Agency (KBRA) assigns provisional ratings to six classes of end-to-end mortgage certificates from Angel Oak Mortgage Trust 2021 (AOMT 2021-3), a $ 302.6 million non-core RMBS transaction. The underlying collateral of 602 residential mortgages is characterized by a significant concentration of alternative income documentation, with approximately 87.0% of loans issued using bank statements.

Angel Oak has been running ESG initiatives since 2019, and Angel Oak Capital Advisors (AOCA) implemented a Social Bonds (SBF) system in early 2021. Together with SBF, AOCA intends to use proceeds from the RMBS securitization to finance home loans for underserved borrowers. KBRA notes that SBF AOCA is focusing on the impact of credit availability for underserved borrowers on “social” considerations in the broader ESG structure. It should be noted that lending programs that expand the availability of loans to non-core borrowers can usually do so with credit risk trade-offs. These high-risk attributes are included in KBRA’s AOMT 2021-3 analysis in the same way as for all non-payment and non-QM transactions assessed by KBRA, and the presence of SBF does not in itself affect KBRA’s performance. loss estimates.

KBRA’s rating approach included loan-level mortgage pool analysis using the RMBS credit model, examining the results of due diligence of the loan file by a third party, analyzing the cash flow model of the transaction payment structure, analyzing the key parties to the transaction, and evaluating the legal structure of the transaction and documentation. This analysis is further described in our US RMBS ranking methodology.

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Information disclosure

Additional information on the key aspects of creditworthiness, a sensitivity analysis that examines the factors that can affect these credit ratings and how they can lead to an upgrade or downgrade, and ESG factors (where they are a key driver of credit rating or rating forecast changes) can be found in the full rating report mentioned above.

A description of all material sources that were used to prepare the credit rating and information on the methodology (s) (including any significant models and sensitivity analysis of the related key rating assumptions, if applicable) used in determining the credit rating is available. in the Disclosure Forms located here

Information on the meaning of each rating category can be found here

Additional information disclosed in connection with this rating action is available in the disclosure forms mentioned above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures is available at www.kbra.com

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full cycle credit rating agency registered by the US Securities and Exchange Commission as the NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority under the Temporary Registration Regime. In addition, KBRA has been designated by the Ontario Securities Commission as a rating organization for issuers of asset-backed securities to file a short prospectus or finished prospectus. KBRA is also recognized as a credit rating provider by the National Insurance Commissioners Association.

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