KBRA Assigns Preliminary Ratings to Angel Oak Mortgage Trust 2021-2 (AOMT 2021-2)
May 07 2021 - 2:07PM
Business Wire
Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to
six classes of mortgage pass-through certificates from Angel Oak
Mortgage Trust 2021 (AOMT 2021-2), a $231.5 million non-prime RMBS
transaction. The underlying collateral, comprising 466 residential
mortgages, is characterized by a notable concentration of
alternative income documentation, with approximately 92.8% of the
loans underwritten using 12-month or 24-month bank statements.
Angel Oak has had ESG initiatives underway since 2019, and in
early 2021 Angel Oak Capital Advisors (AOCA) implemented a Social
Bond Framework (SBF). In conjunction with the SBF, AOCA intends to
use proceeds generated by its RMBS securitizations to finance
residential loans for underserved borrowers. AOMT 2021-2 is the
first RMBS transaction KBRA has rated where the sponsor or an
affiliated entity has implemented and tested a SBF and has
committed to provide public annual reports which would include
metrics relating to social impacts from its Social Bond issuances.
KBRA notes that AOCA’s SBF puts focus on the impact that credit
availability for underserved borrowers can have on ‘Social’
considerations within a broader ESG framework.
It should be noted that lending programs which expand credit
availability to non-prime borrowers can generally do so with
trade-offs in regard to credit risk. These higher risk attributes
are incorporated into KBRA’s analysis of AOMT 2021-2 in the same
manner as for all non-prime and non-QM transactions rated by KBRA,
and the existence of the SBF does not, in itself, have an impact on
KBRA’s loss estimates.
KBRA’s rating approach incorporated loan-level analysis of the
mortgage pool through its U.S. RMBS 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.
Click here to view the report. To access ratings and relevant
documents, click here.
Related Publications
- AOMT 2021-2 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
- U.S. RMBS Rating Methodology
- U.S. RMBS Mortgage Default and Loss Model Methodology
- Global Structured Finance Counterparty Methodology
Disclosures
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.
About KBRA
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 pursuant to the
Temporary Registration Regime. 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.
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Analytical Contacts
Edward DeVito, Managing Director (Lead Analyst) +1 (646)
731-2319 edward.devito@kbra.com
Hannah Brennan, Senior Analyst +1 (646) 731-3324
hannah.brennan@kbra.com
Jack Kahan, Senior Managing Director (Rating Committee Chair) +1
(646) 731-2486 jack.kahan@kbra.com
Business Development Contact
Michele Patterson, Managing Director +1 (646) 731-2397
michele.patterson@kbra.com