KBRA assigns preliminary ratings to 51 classes of mortgage reference notes from Western Mortgage Reference Notes, Series 2022-CL4, a credit-linked note transaction issued by Western Alliance Bank (“WAB”). This is the fourth credit-linked note issuance by the Bank and the third rated by KBRA. The issued Notes are general obligations of WAB and the issuance is designed to transfer credit risk on a guaranteed portfolio of mortgage assets (the Guaranteed Obligations) owned by WAB. The Guaranteed Obligations consist of a pool of 3,205 mortgage loans with an unpaid principal balance of over $1.9 billion as of the October 31, 2022 cut-off date.

In determining the ratings KBRA considered a number of factors, which included the credit analysis of the Guaranteed Portfolio, which is not held in a bankruptcy remote structure, as well as the credit worthiness of the Issuer and the transaction’s structural features, including, but not limited to a funded Collateral Account in an amount sufficient to extinguish the principal balance of the notes and a letter of credit available to pay interest due in the event of insolvency and potential FDIC action.

To access ratings and relevant documents, click here.

Click here to view the report.

Related Publications

• WAL 2022-CL4 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
• ESG Global Rating 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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