NEW YORK–(BUSINESS WIRE)–#KBRA–KBRA assigns ratings to one class of mortgage-backed notes from FASST 2023-S3, a $460.2 million reverse mortgage transaction. 61.5% of the transaction comprises newly originated loans/participations which have not previously been securitized while the remaining collateral comprises loans/participations called from a prior FASST transaction (FASST 2020-JR4), which was not KBRA rated, and itself was a securitization of loans which were called from (TMFT 2017-RM1). As such, the assets range from newly originated to many years seasoned, with a weighted average loan age of 22 months through pool cut-off date.
In its review of this transaction, KBRA utilized its Reverse Mortgage Securitization Global Rating Methodology and evaluated the collateral pool using its KBRA Reverse Mortgage Model (KRMM).
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- Reverse Mortgage Securitization Global Rating Methodology
- Global Structured Finance Counterparty Methodology
- ESG Global Rating 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 Information Disclosure Form(s) 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 Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an 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. 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.
Edward DeVito, Senior Managing Director (Lead Analyst)
Edward Tamiso, Senior Director
Liam Vauk, Senior Analyst
Jack Kahan, Senior Managing Director (Rating Committee Chair)
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