Rating Action: Moody's assigns provisional ratings to prime RMBS issuedby New Residential Mortgage Loan Trust 2022-INV1Global Credit Research - 03 Mar 2022New York, March 03, 2022 -- Moody's Investors Service ("Moody's") hasassigned provisional ratings to 9 classes of residential mortgage-backedsecurities (RMBS) issued by New Residential Mortgage Loan Trust 2022-INV1(NRMLT 2022-INV1).NRMLT 2022-INV1 is the first securitization of 100% GSE eligiblefirst-lien investment property mortgage loans sponsored by New ResidentialInvestment Corp. (New Residential) in 2022, and the third overall issuancefrom the sponsor this year. Approximately 61.9% and 38.1 of the pool byloan balance is originated by Caliber Home Loans Inc. (Caliber) and NewRezLLC (NewRez), respectively. Overall, the credit quality of the mortgageloans backing this transaction is in line with other transactions issuedby other prime issuers.Servicing compensation is subject to a step-up incentive fee structure.Servicing fee includes base fee plus delinquency and incentive fees.Delinquency and incentive fees will be deducted reverse sequentiallystarting from the Class B6 interest payment amount first and could resultin interest shortfall to the certificates depending on the magnitude ofthe delinquency and incentive fees.The complete rating actions are as follows:Issuer: New Residential Mortgage Loan Trust 2022-INV1Cl. A1, Assigned (P)Aaa (sf)Cl. A2, Assigned (P)Aaa (sf)Cl. A5, Assigned (P)Aaa (sf)Cl. A6, Assigned (P)Aaa (sf)Cl. A7, Assigned (P)Aaa (sf)Cl. A8, Assigned (P)Aaa (sf)Cl. AX2*, Assigned (P)Aaa (sf)Cl. AX5*, Assigned (P)Aaa (sf)Cl. AX7*, Assigned (P)Aaa (sf)*Reflects Interest-Only ClassesRATINGS RATIONALESummary Credit Analysis and Rating RationaleMoody's expected loss for this pool in a baseline scenario is 1.20% at themean, 0.90% at the median, and reaches 6.96% at a stress level consistentwith our Aaa ratings.We base our ratings on the certificates on the credit quality of themortgage loans, the structural features of the transaction, ourassessments of the origination quality and servicing arrangement, thestrength of the third-party due diligence (TPR) and the representationsand warranties (R&W) framework of the transaction.Collateral descriptionAs of the cut-off date of February 1, 2022, the $318,078,815 poolconsisted of 943 mortgage loans secured by first liens on residentialinvestment properties. All of the mortgage loans are underwritten inaccordance with Freddie Mac or Fannie Mae guidelines (collectively, GSEs),which take into consideration, among other factors, the income, assets,employment and credit score of the borrower as well as loan-to-value(LTV). These loans were run through one of the GSEs' automatedunderwriting systems (AUS) and received an "Approve" or "Accept"recommendation. All the loans in the pool are current as of the cut-offdate.The average stated principal balance is $337,305 and the weighted average(WA) current mortgage rate is 3.6%. The majority of the mortgage loanshave a 30-year term, with 38 of the mortgage loans having a term between15-28 years. All of the loans have a fixed rate. The WA original creditscore is 770 for the primary borrower only and the WA combined originalLTV and CLTV is 64.7% and 64.7%, respectively. The WA originaldebt-to-income (DTI) ratio is 35.6%. A significant percentage of themortgage loans by loan balance (30.5%) are backed by properties located inCalifornia. The next largest geographic concentration of properties areWashington, Florida and Texas and, which represents 9.1%, 8.4% and 6.1% byloan balance, respectively. All other states each represent less than 5%by loan balance.Approximately 0.5% (by UPB) of the mortgage loans are "Appraisal Waiver"(AW) loans, whereby the sponsor obtained an AW for each such mortgage loanfrom Fannie Mae or Freddie Mac through their respective programs. We madean adjustment in our analysis to account for the increased risk associatedwith AW loans.Origination qualityThe majority of the loans in the pool are originated by Caliber Home LoansInc. (approximately 61.9% by UPB) and NewRez LLC (approximately 38.1% byUPB). These loans were underwritten in conformity with GSE guidelineswithout any overlays. We consider origination quality to be in line withits peers due to: (1) adequate underwriting policies and procedures, (2)acceptable performance with low delinquency and repurchase and (3)adequate quality control. Therefore, we have not applied an additionaladjustment for origination quality.Servicing arrangementsWe consider the overall servicing arrangement for this pool to beadequate. We did not make any adjustments to our base case and Aaa stressloss assumptions based on the servicing arrangement. We also consider thepresence of a strong master servicer to be a mitigant against the risk ofany servicing disruptions. Servicing compensation in this transaction isbased on a fee-for-service incentive structure.Third-party reviewThe compliance, credit, property valuation, and data integrity portion ofthe TPR was conducted on a random sample of approximately 30.2% (by loancount) of the initial population of the pre-securitization mortgage loans.We calculated the credit neutral sample size using a confidence interval,error rate and a precision level of 95%/5%/2%, respectively. The number ofmortgage loans that went through a full due diligence review is below ourcalculated threshold. With sampling, there is a risk that loan defects maynot be discovered and such mortgage loans would remain in the pool.Moreover, vulnerabilities of the R&W framework, such as the lack of anautomatic review of R&Ws by independent reviewer and the weaker financialstrength of the R&W provider, reduce the likelihood that such defectswould be discovered and cured during the transaction's life. We made anadjustment to loss levels to account for this risk.R&W frameworkThe R&W provider, NRZ Sponsor V LLC (NRZ), may not have the financialwherewithal to purchase defective loans. Moreover, unlike othertransactions that we have rated, the R&W framework for this transactiondoes not include a mechanism whereby loans that experience an earlypayment default (EPD) are repurchased. We adjusted our Aaa CE and expectedlosses to account for these weaknesses in the R&W framework.Transaction structureThe securitization has a shifting interest structure that benefits from asenior subordination floor and a subordinate floor. Funds collected,including principal, are first used to make interest payments and thenprincipal payments to the senior bonds, and then interest and principalpayments to each subordinate bond. As in all transactions with shiftinginterest structures, the senior bonds benefit from a cash flow waterfallthat allocates all prepayments to the senior bond for a specified periodof time, and increasing amounts of prepayments to the subordinate bondsthereafter, but only if loan performance satisfies delinquency and losstests.Realized losses are allocated in a reverse sequential order, first to thelowest subordinate bond. After the balances of the subordinate bonds arewritten off, losses from the pool begin to write off the principalbalances of the senior support bonds until their principal balances arereduced to zero. Next, realized losses are allocated to super senior bondsuntil their principal balance is written off.Tail risk & subordination floorThe transaction cash flows follow a shifting interest structure thatallows subordinated bonds to receive principal payments under certaindefined scenarios. Because a shifting interest structure allowssubordinated bonds to pay down over time as the loan pool shrinks, seniorbonds are exposed to eroding credit enhancement over time and increasedperformance volatility, known as tail risk. To mitigate this risk, thetransaction provides for a senior subordination floor of 1.20% whichmitigates tail risk by protecting the senior bonds from eroding creditenhancement over time. Additionally, there is a subordination lock-outamount which is 1.20% of the closing pool balance.We calculate the credit neutral floors for a given target rating as shownin our principal methodology. The senior subordination floor and thesubordinate floor of 1.20% and 1.20%, respectively, are consistent withthe credit neutral floors for the assigned ratings.Factors that would lead to an upgrade or downgrade of the ratings:DownLevels of credit protection that are insufficient to protect investorsagainst current expectations of loss could drive the ratings down. Lossescould rise above Moody's original expectations as a result of a highernumber of obligor defaults or deterioration in the value of the mortgagedproperty securing an obligor's promise of payment. Transaction performancealso depends greatly on the US macro economy and housing market. Otherreasons for worse-than-expected performance include poor servicing, erroron the part of transaction parties, inadequate transaction governance andfraud.UpLevels of credit protection that are higher than necessary to protectinvestors against current expectations of loss could drive the ratings up.Losses could decline from Moody's original expectations as a result of alower number of obligor defaults or appreciation in the value of themortgaged property securing an obligor's promise of payment. Transactionperformance also depends greatly on the US macro economy and housingmarket.The principal methodology used in rating all classes except interest-onlyclasses was "Moody's Approach to Rating US RMBS Using the MILAN Framework"published in February 2022 and available athttps://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1305403.The methodologies used in rating interest-only classes were "Moody'sApproach to Rating US RMBS Using the MILAN Framework" published inFebruary 2022 and available athttps://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1305403and "Moody's Approach to Rating Structured Finance Interest-Only (IO)Securities" published in February 2019 and available athttps://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1111179.Please see the list of ratings at the top of this announcement to identifywhich classes are interest-only (indicated by the *). Alternatively,please see the Rating Methodologies page on www.moodys.com for a copy ofthese methodologies.REGULATORY DISCLOSURESFor further specification of Moody's key rating assumptions andsensitivity analysis, see the sections Methodology Assumptions andSensitivity to Assumptions in the disclosure form. Moody's Rating Symbolsand Definitions can be found at:https://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_79004.Further information on the representations and warranties and enforcementmechanisms available to investors are available onhttp://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBS_1320560.The analysis relies on an assessment of collateral characteristics todetermine the collateral loss distribution, that is, the function thatcorrelates to an assumption about the likelihood of occurrence to eachlevel of possible losses in the collateral. As a second step, Moody'sevaluates each possible collateral loss scenario using a model thatreplicates the relevant structural features to derive payments andtherefore the ultimate potential losses for each rated instrument. Theloss a rated instrument incurs in each collateral loss scenario, weightedby assumptions about the likelihood of events in that scenario occurring,results in the expected loss of the rated instrument.Moody's quantitative analysis entails an evaluation of scenarios thatstress factors contributing to sensitivity of ratings and take intoaccount the likelihood of severe collateral losses or impaired cash flows.Moody's weights the impact on the rated instruments based on itsassumptions of the likelihood of the events in such scenarios occurring.For ratings issued on a program, series, category/class of debt orsecurity this announcement provides certain regulatory disclosures inrelation to each rating of a subsequently issued bond or note of the sameseries, category/class of debt, security or pursuant to a program forwhich the ratings are derived exclusively from existing ratings inaccordance with Moody's rating practices. For ratings issued on a supportprovider, this announcement provides certain regulatory disclosures inrelation to the credit rating action on the support provider and inrelation to each particular credit rating action for securities thatderive their credit ratings from the support provider's credit rating. Forprovisional ratings, this announcement provides certain regulatorydisclosures in relation to the provisional rating assigned, and inrelation to a definitive rating that may be assigned subsequent to thefinal issuance of the debt, in each case where the transaction structureand terms have not changed prior to the assignment of the definitiverating in a manner that would have affected the rating. For furtherinformation please see the ratings tab on the issuer/entity page for therespective issuer on www.moodys.com.For any affected securities or rated entities receiving direct creditsupport from the primary entity(ies) of this credit rating action, andwhose ratings may change as a result of this credit rating action, theassociated regulatory disclosures will be those of the guarantor entity.Exceptions to this approach exist for the following disclosures, ifapplicable to jurisdiction: Ancillary Services, Disclosure to ratedentity, Disclosure from rated entity.The ratings have been disclosed to the rated entity or its designatedagent(s) and issued with no amendment resulting from that disclosure.These ratings are solicited. Please refer to Moody's Policy forDesignating and Assigning Unsolicited Credit Ratings available on itswebsite www.moodys.com.Regulatory disclosures contained in this press release apply to the creditrating and, if applicable, the related rating outlook or rating review.Moody's general principles for assessing environmental, social andgovernance (ESG) risks in our credit analysis can be found athttp://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_1288235.The Global Scale Credit Rating on this Credit Rating Announcement wasissued by one of Moody's affiliates outside the EU and is endorsed byMoody's Deutschland GmbH, An der Welle 5, Frankfurt am Main 60322,Germany, in accordance with Art.4 paragraph 3 of the Regulation (EC) No1060/2009 on Credit Rating Agencies. Further information on the EUendorsement status and on the Moody's office that issued the credit ratingis available on www.moodys.com.The Global Scale Credit Rating on this Credit Rating Announcement wasissued by one of Moody's affiliates outside the UK and is endorsed byMoody's Investors Service Limited, One Canada Square, Canary Wharf, LondonE14 5FA under the law applicable to credit rating agencies in the UK.Further information on the UK endorsement status and on the Moody's officethat issued the credit rating is available on www.moodys.com.Please see www.moodys.com for any updates on changes to the lead ratinganalyst and to the Moody's legal entity that has issued the rating.Please see the ratings tab on the issuer/entity page on www.moodys.com foradditional regulatory disclosures for each credit rating.Philip RukosuevAsst Vice President - AnalystStructured Finance GroupMoody's Investors Service, Inc.250 Greenwich StreetNew York, NY 10007U.S.A.JOURNALISTS: 1 212 553 0376Client Service: 1 212 553 1653Sonny WengVP - Sr Credit Officer/ManagerStructured Finance GroupJOURNALISTS: 1 212 553 0376Client Service: 1 212 553 1653Releasing Office:Moody's Investors Service, Inc.250 Greenwich StreetNew York, NY 10007U.S.A.JOURNALISTS: 1 212 553 0376Client Service: 1 212 553 1653© 2022 Moody's Corporation, Moody's Investors Service, Inc.,Moody's Analytics, Inc. and/or their licensors and affiliates(collectively, "MOODY'S"). 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