KBRA Assigns Preliminary Ratings to Western Mortgage Reference Notes, Series 2021-CL2 (WAL 2021-CL2)

Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 5 classes of mortgage reference notes from Western Mortgage Reference Notes, Series 2021-CL2 (WAL 2021-CL2), a credit-linked note transaction issued by Western Alliance Bank (“WAB”). This is the first such rated issuance by WAB and the second credit-linked note issuance by the Bank. The issued Notes are unsecured general obligations of WAB and the issuance is designed to transfer credit risk on a reference pool of mortgage assets (the Reference Obligations) owned by WAB. The Reference Obligations consist of a pool of 5,554 mortgage loans with an unpaid principal balance of over $4.5 billion as of November 30, 2021.

KBRA’s rating approach incorporated loan-level analysis of the mortgage reference pool through its KBRA RMBS Credit 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.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• WAL 2021-CL2 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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