KBRA assigns preliminary ratings to Provident Funding Mortgage Trust 2021-J1 (PFMT 2021-J1)


NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 27 categories of mortgage transfer certificates from Provident Funding Mortgage Trust 2021-J1 (PFMT 2021-J1).

Provident Funding Mortgage Trust 2021-J1 (PFMT 2021-J1) is a blue chip RMBS transaction comprising 629 residential mortgages with a total principal balance of $ 461.7 million as of the deadline of September 1, 2021. The guarantee Underlying consists of fully amortizing (53.1%) fixed rate mortgages eligible for agencies (46.9%) and eligible for agencies. The pool is characterized by significant borrower’s equity in each mortgaged property as evidenced by the initial WA LTV of 62.8% and the initial WA CLTV of 63.0%. The weighted average initial credit score is 778.

KBRA’s scoring approach incorporated a loan-level analysis of the mortgage pool through its US RMBS mortgage default and loss model, a review of the results of due diligence of third-party loan files, a modeling analysis cash flow of the transaction payment structure, reviews of the key transaction parties and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.

Click here to view the report. To access the assessments and relevant documents, click here.

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Disclosures

Further information on key credit considerations, sensitivity analyzes which examine the factors that may affect these credit ratings and how they could lead to an improvement or a downgrade, and ESG factors (when they are a key factor in changing credit rating or rating outlook) can be found in the full appraisal report referenced above.

A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of relevant key rating assumptions, if any) used to determine The credit rating is available in the Information Disclosure Form (s) located here.

Here you will find information about the meaning of each rating category.

Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA’s policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.

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