Kroll Unveils Findings of Assessing Non-QM Risk in U.S. RMBS Report – NMP Skip to main content

Kroll Unveils Findings of Assessing Non-QM Risk in U.S. RMBS Report

NationalMortgageProfessional.com
Apr 23, 2014

Kroll Bond Rating Agency (KBRA) announced the release of its methodology for assessing non-Qualified Mortgage (non-QM) risk in U.S. residential mortgage-backed securities (RMBS). The report, Assessing Non-QM Risk in U.S. RMBS, provides insight into KBRA’s proposed analytic approach for rating RMBS backed by non-QM loans. The methodology relies on KBRA’s fundamental analysis of mortgage risk, augmented by stressed assumptions regarding a borrower’s propensity to engage in litigation against an originator, and potential losses resulting from a successful borrower claim. While the discussion in KBRA’s report relates to non-QM loans that are prime credit quality mortgage loans, similar to loans that have been included in prime jumbo RMBS to date, KBRA would also consider rating RMBS backed by non-prime, non-QM loans. However, this collateral would pose additional considerations regarding whether the non-QM status when combined with less affluent and perhaps less sophisticated borrowers posed a heightened risk of successful challenges under the QM rule. Non-QM is a new mortgage risk factor resulting from regulations enacted by the Dodd-Frank Act. Therefore, there is little historical data demonstrating how this risk factor might affect mortgage performance. Certain assumptions made by KBRA have been derived from limited data on litigation-related mortgage loss. KBRA published a request for comment on December 5th, 2013 seeking feedback on its non-QM methodology from market participants. KBRA received a number of comments during the comment period, which ended Jan. 31, 2014, has incorporated those comments deemed appropriate, and finalized its methodology.
Published
Apr 23, 2014
CFPB Alters Threshold For Exempting Loans From Special Appraisal Requirements

The 2022 threshold for exempting loans from special appraisal requirements for higher-priced mortgage loans will increase from $27,200 to $28,500. 

Regulation and Compliance
Dec 02, 2021
Regulatory Review, Reformatted

The progress made to date with NMLS modernization

Regulation and Compliance
Dec 01, 2021
November Surprise: Fed May Accelerate Tapering

Chairman Powell tells Congress of concerns about inflation, COVID-19 variant’s effect on recovery.

Regulation and Compliance
Dec 01, 2021
FHFA's 2022 Conforming Loan Limit Maxes Out At Nearly $1M

Baseline limit for Fannie, Freddie increases to $647,200, but for 'high-cost areas' loan ceiling set at $970,800 for single-family homes.

Regulation and Compliance
Dec 01, 2021
Regulators Are Back In The Saddle

There’s not only a new sherriff in town, it’s a whole gang of them.

Regulation and Compliance
Nov 29, 2021
CFPB Seeks Insight On Creating A Fairer Mortgage Market

The Consumer Financial Protection Bureau has been actively looking to create a fairer mortgage market, free of discriminatory engagements. To do so, it issued a Request for Information to seek input on rules implementing the Home Mortgage Disclosure Act.

Regulation and Compliance
Nov 17, 2021