KBRA assigns a preliminary rating of ‘BBB- (sf)’ to the Series 2022-FNT1 Term Notes from Caliber MSR-Collateralized Notes, by Caliber Home Loans, Inc. (Caliber) and Caliber FNT Excess Owner LLC’s issuance pursuant to a Master Credit Agreement backed by mortgage servicing rights (MSRs) including servicing fees, aggregate excess spread and float pledged by the issuers to the Collateral Agent in support of the issuers’ payment obligations. The MSRs are related to Fannie Mae-owned mortgage loans that are serviced by Caliber pursuant to a servicing agreement between Caliber and Fannie Mae.

KBRA’s rating on the Series 2022-FNT1 Term Notes is primarily dependent on the credit rating of Caliber (KBRA Rating: BB+/Stable) as principal and interest obligor and rights to MSRs granted by Fannie Mae to the Issuers, with certain transaction features described more fully in KBRA’s presale report providing one notch uplift on the rating of the notes. Generally, these transaction features are factors that KBRA believes reduce the risk of servicer termination by Fannie Mae which include but are not limited to (i) the pre-existing relationship between Fannie Mae and the Servicer, (ii) a tri-party acknowledgement agreement which includes the Issuers, Fannie Mae, and the Collateral Agent (iii) collateral coverage triggers to pay down notes or add collateral as applicable, and (iv) the diversity of subservicers available to undertake direct servicing responsibilities on the FNMA portfolio backing the term note issuances.

KBRA analyzed the transaction using its Finance Company Rating Methodology (November 28, 2017), Corporate Instrument Notching Global Methodology (September 9, 2020), and also relied on its Global Structured Finance Counterparty Methodology (August 8, 2018) for assessing counterparty risk in this transaction, to the extent deemed applicable.

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Related Publications

• KBRA Assigns Issuer Rating to Caliber Home Loans, Inc.
• Global Finance Company Rating Methodology
• Corporate Instrument Notching Global 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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