KBRA Assigns Preliminary Ratings to Provident Funding Mortgage Trust 2020-F1 (PFMT 2020-F1)

Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to eleven classes of mortgage pass-through certificates from Provident Funding Mortgage Trust 2020-F1 (PFMT 2020-F1), a prime RMBS transaction.

The transaction is somewhat unique in that it is backed solely by 15-year fixed rate conforming consumer-purpose residential mortgage loans. All of the loans meet qualified mortgage (QM) requirements under the ATR rule. In addition to the pool’s unique composition of only 15-year agency collateral, the underlying borrowers on average are of notably high credit quality. PFMT 2020-F1 comprises loans which have the highest WA FICO score as well as the lowest WA original CLTV of any of the more than 400 RMBS 2.0 transactions issued to date. Consequently, KBRA’s model loss expectations are the lowest of any post-crisis transaction it has rated. No loans in the subject collateral pool are in active forbearance as of the cut-off date. The loans are originated and serviced by Provident Funding Associates, LP.

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, an assessment of the transaction’s legal structure and documentation, as well as historical benchmarking of similar high credit quality loans. 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

• PFMT 2020-F1 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)
• Residential Mortgage Default and Loss Model
• U.S. RMBS Rating 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 U.S. Information Disclosure Form 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 U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.

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