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KBRA Assigns Preliminary Ratings To RCKT 2022-1

David Krechevsky
Jan 07, 2022
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The pool comprises 827 residential mortgages with an aggregate principal balance of $748.1M.

KBRA has assigned preliminary ratings to 46 classes of mortgage pass-through certificates from RCKT Mortgage Trust 2022-1 (RCKT 2022-1).

RCKT 2022-1 comprises 827 residential mortgages with an aggregate principal balance of $748.1 million as of the Jan. 1, 2022, cut-off date. The underlying collateral consists entirely of 30-year fixed-rate mortgages, all of which are subject to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rules.

RCKT 2022-1 represents the ninth stand-alone issuance from the RCKT shelf and Rocket collateral has comprised a substantial portion of RMBS 2.0 jumbo collateral in various other transactions.

KBRA assigned the preliminary ratings as follows:

  • A-4, A-10, A-12, A-16, A-22, A-X-3, A-X-6, A-X-7, A-X-9, A-X-12: AAA
  • B-1, B-X-1: AA+
  • B-2, B-X-2: A+
  • B-3: BBB+
  • B-4: BB+
  • B-5: B
  • B-6, R, LT-R: Not rated

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its RMBS Credit 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.

RCKT 2022-1 consists of high-quality mortgage loans to prime credit borrowers with a weighted average (WA) original credit score of 761 and a WA debt-to-income (DTI) ratio of 34.2%. There is notable borrower equity in the properties collateralizing these mortgages, which is reflected in the WA original loan-to-value (LTV) ratio of 71.5%. The level of equity provides a substantial margin of safety against potential home price declines, while the pool’s FICO scores, DTI ratios and income generally display strong borrower credit quality.

To read the full report, visit www.kbra.com (registration required).

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