NEW YORK, 20 July 2021– (BUSINESS WIRINGKroll Bond Rating Agency (KBRA) assigns provisional ratings to 26 classes of end-to-end mortgage certificates from Morgan Stanley Residential Mortgage Loan Loan Trust 2021-4 (MSRM 2021-4). MSRM 2021-4 includes 283 residential mortgages with an aggregate principal balance of USD 275.7 million as of July 1, 2021. The underlying collateral includes large non-compliant loans (100%), all of which have been identified as qualified mortgages (QM).
The KBRA’s rating approach included loan-level mortgage pool analysis using the RMBS credit model, analysis of the results of due diligence of the loan file by a third party, cash flow modeling analysis of the transaction payment structure, analysis of the key parties to the transaction, and an assessment of the legal structure of the transaction and documentation. This analysis is further described in our US RMBS ranking methodology.
Additional information on the key aspects of creditworthiness, a sensitivity analysis that examines what factors 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 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 form (s) referred to above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures is available at www.kbra.com…
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 the rating organization for issuers of asset-backed securities to file a short prospectus or a completed prospectus. KBRA is also recognized as a credit rating provider by the National Insurance Commissioners Association.
See the original version at businesswire.com: https://www.businesswire.com/news/home/20210720005882/en/
Patrick Gervais, Managing Director (Lead Analyst)
+1 (646) 731-2426
Abu Traore, lawyer
+1 (646) 731-1258
Jack Kahan, Senior Managing Director (Chairman of the Ratings Committee)
+1 (646) 731-2486
Business Development Contacts
Michelle Patterson, Managing Director
+1 (646) 731-2397