Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 15 classes of mortgage certificates from First Republic Mortgage Trust 2020-1 (FRMT 2020-1), First Republic Bank’s first prime RMBS transaction since credit crisis. The FRMT 2020-1 mortgage pool is composed of 303 non-conforming mortgage loans with an aggregate principal balance of $300,115,996 as of the cut-off date.
The pool consists entirely of hybrid ARMs, with loans possessing initial fixed-rate periods of ten years. Approximately 89.2% of the loans have interest-only (IO) periods, most of whose original IO terms last for 120 months. The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 55.5% and WA original CLTV of 57.1%. The weighted average original credit score is 771, which is within the prime mortgage range.
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.
- First Republic Mortgage Trust 2020-1 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- U.S. RMBS Rating Methodology
- Global Structured Finance Counterparty 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 U.S. Information Disclosure Form 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 U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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 and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Armine Karajyan, Associate Director (Lead Analyst)
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Hannah Brennan, Analyst
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Edward DeVito, Managing Director
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Jack Kahan, Senior Managing Director (Rating Committee Chair)
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