NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary ratings to six
classes of mortgage-backed notes from Arroyo Mortgage Trust 2019-1 (ARRW
2019-1), a $291.8 million non-prime RMBS transaction.
ARRW 2019-1 is sponsored by Arroyo Mortgage Acquisition Company II LLC
(AMAC II), an affiliate of Western Asset Management Company (WAMCO). The
ARRW 2019-1 pool, comprising 753 residential mortgages, includes both
seasoned performing (pre-implementation of the Ability-to Repay rule)
and newly-originated non-prime collateral with a weighted average (WA)
loan age of approximately 28 months (based on January 1, 2019 cut-off).
The loans were underwritten primarily using non-traditional income
documentation sources to borrowers with substantial equity. The pool
contains both non-qualified mortgages (Non-QM; 57.8%) and loans that are
exempt from the ATR rule (42.2%), including business purpose investor
property loans and mortgages originated prior to implementation of the
Ability-to Repay rule.
The underlying ARRW 2019-1 collateral consists of both hybrid
adjustable-rate mortgages (87.4%) and fixed-rate mortgages (12.6%), with
1.9% of the loans possessing an interest-only period of five or seven
years. Borrowers in the pool possess a WA original credit score of 744
and they exhibit substantial equity in each mortgaged property, with WA
original loan-to-value (LTV) and combined LTV (CLTV) ratios of 60.6% and
KBRA’s rating approach incorporated loan-level analysis of the mortgage
pool through its Residential Mortgage Default and Loss Model, an
examination of the results from third-party loan file due diligence,
cash flow modeling, analysis of the transaction’s payment structure,
reviews of key transaction parties and an assessment of the
transaction’s legal structure and documentation. This analysis is
further described in our U.S. RMBS Rating Methodology.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
2019-1 Pre-Sale Report
2019-1 Tear Sheet
RMBS Rating Methodology
Mortgage Default and Loss Model
RMBS Rating Methodology for Assessing Non-QM Risk
Expects TRID to Have Limited Impact on RMBS Enhancement Levels
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About KBRA and KBRA Europe
KBRA is a full service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. 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, is recognized by the National
Association of Insurance Commissioners as a Credit Rating Provider, and
is a certified Credit Rating Agency (CRA) by the European Securities and
Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is
registered with ESMA as a CRA.
Gervais, Senior Director
Sharif Mahdavian, Senior Director
Jack Kahan, Managing Director