Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to eight classes of mortgage pass-through certificates from Verus Securitization Trust 2020-1 (Verus 2020-1), a $699.2 million residential mortgage-backed securities (RMBS) transaction backed by a pool of 1,376 non-prime mortgages.
Verus 2020-1 is the 16th rated securitization in the forward-mortgage RMBS 2.0 space sponsored by Verus Mortgage Capital ("VMC" or "Verus"), an affiliate of Invictus Capital Partners, LP (Invictus) who aggregates and securitizes loans under the Verus shelf All of the loans in this transaction are part of the Sponsor’s Mortgagor Focused programs. The loans are non-agency, consumer-purpose loans which were underwritten primarily in accordance with the Prime Ascent and Credit Ascent loan programs that range from Documentation Types such as Standard ("Full Doc") to WVOE. Such collateral can typically be categorized by certain loan and/or borrower characteristics, which will generally inhibit the extension of credit to these borrowers by the GSEs or traditional non-agency mortgage programs.
The pool has a WA loan age (WALA) of approximately three months, and it includes both fixed rate mortgages (FRMs, 40.7%) and hybrid adjustable rate mortgages (ARMs, 59.3%). Most of the FRMs possess 30-year terms (37.0%), while the pool’s ARM loans include initial fixed rate periods of five (30.7%), seven (28.0%) or ten (0.7%) years. Approximately 19.7% of the mortgages have an interest-only period, most of which last for the first ten years of the loan term. Loans in the pool exhibit substantial borrower equity, as evidenced by the WA original LTV, original CLTV of 71.1% and 71.2% respectively. The pool has a WA original credit score of 706.
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.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- Verus 2020-1 Pre-Sale Report
- Verus 2020-1 Tear Sheet
- Verus 2020-1 Representations & Warranties Disclosure
- RMBS KBRA Comparative Analytic Tool (KCAT)
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- Global Structured Finance Counterparty Methodology
- Credit Evolution – Non-Prime Isn’t Yesterday’s Subprime
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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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