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KBRA Assigns Preliminary Ratings To WFMBS 2022-1

David Krechevsky
Jan 10, 2022
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The prime residential mortgage-backed securities transaction comprises 691 residential mortgages with an aggregate principal balance of approximately $463 million as of the Jan. 1, 2022, cut-off date.

KBRA has assigned preliminary ratings to 36 classes of mortgage pass-through certificates from Wells Fargo Mortgage Backed Securities 2022-1 Trust (WFMBS 2022-1). 

WFMBS 2022-1 is a prime residential mortgage-backed securities transaction comprising 691 residential mortgages with an aggregate principal balance of approximately $463 million as of the Jan. 1, 2022, cut-off date. The underlying collateral consists of 30-year fixed-rate mortgages (FRMs) and includes both non-agency (0.6%) and agency-eligible (99.4%) loans.

This transaction consists of high-quality mortgage loans to prime credit borrowers with significant equity; weighted average (WA) original pool FICO for this transaction is 767, which is in line with the average Prime RMBS WA FICO in 2020 and 2021 (YTD) combined. The WA combined loan-to-value (CLTV) of 65.1% provides a substantial margin of safety against potential home price declines, and is notably lower than the WA CLTV of recent PLS prime investor-only loan transactions.

KBRA assigned its preliminary ratings as follows:

  • A-8, A-12, A-14, A-16, A-18, A-IO1, A-IO5, A-IO7, A-IO8, A-IO9, A-IO10: AAA
  • B-1: AA
  • B-2: A
  • B-3: BBB
  • B-4: BB
  • B-5: B
  • B-6, R: Not rated

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

All of the mortgages in WFMBS 2022-1 fall under the scope of the Qualified Mortgage (QM)/ Ability-to-Repay (ATR) rule and are designated as QM: Agency/GSE Eligible (99.2%), QM: Safe Harbor (0.7%) or QM: Rebuttable Presumption (0.1%).

To read KBRA’s full report on WFMBS 2022-1, visit www.kbra.com (registration required).

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