KBRA Assigns Preliminary Ratings to Deephaven Residential Mortgage Trust 2019-4 (DRMT 2019-4)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage-backed notes from Deephaven Residential Mortgage Trust 2019-4 (DRMT 2019-4), a $480.9 million non-prime RMBS transaction.

Deephaven Mortgage LLC was founded in 2012 and has solely focused their platform on non-prime non-QM collateral. Deephaven Residential Mortgage Trust 2019-4 (DRMT 2019-4) is collateralized by a pool of 1,116 mortgages, which are mostly classified as non-prime. Borrowers in the DRMT 2019-4 pool possess a non-zero WA original credit score of 703 with an WA original loan-to-value (LTV) and combined LTV (CLTV) ratios of 74.6% and 74.7%, respectively. DRMT 2019-4 consists primarily of hybrid ARMs (56.1%), consisting of loans with initial fixed-rate periods of three (3.2%), five (44.2%), seven (7.7%) and ten (1.0%) years; 10.6% of the collateral pool is made up hybrid ARM and interest-only loans. Approximately 82.9% of the loans were designated as Non-QM or QM Rebuttable Presumption, and do not benefit from the safe harbor legal protections and are potentially at heightened risk of litigation-related losses.

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 and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)



About KBRA and KBRA Europe

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


Analytical Contacts:
Gary Narvaez, Senior Director

(646) 731-2478


Sharif Mahdavian, Senior Director

(646) 731-2301


Ed DeVito, Managing Director

(646) 731-2319


Jack Kahan, Senior Managing Director

(646) 731-2486


Fei Han, Analyst

(646) 731-2342


Business Development Contact:
Michele Patterson, Managing Director

(646) 731-2397


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