Fitch Ratings said Thursday it expects to rate the residential mortgage-backed notes to be issued by BRAVO Residential Funding Trust 2023-NQM1 (BRAVO 2023-NQM1).
The notes are supported by 788 loans with a total interest-bearing balance of approximately $365 million. Loans in the pool were originated primarily by Acra Lending and LoanStream Mortgage, with the remainder coming from multiple originators. The loans are serviced by Acra and Rushmore Loan Management Services LLC.
The 788 loans are seasoned approximately 11 months in aggregate, calculated as the difference between the origination date and the cutoff date. The borrowers have a moderate credit profile — a 725 model FICO score and a 47% debt-to-income ratio (DTI), which includes mapping for debt service coverage ratio (DSCR) loans — and leverage, as evidenced by a 74% sustainable loan-to-value ratio (sLTV).
The pool comprises 53% of loans treated as owner-occupied, while 47% were treated as an investor property or second home, which includes loans to foreign nationals or loans where the residency status was not provided (five foreign nationals and 35 loans where residency was not available).
Of the loans, 57.3% are designated as a non-QM loan, while the Ability to Repay Rule (ATR) does not apply for 42%. Lastly, 1.6% of the loans are 30 days' delinquent as of the cutoff date, while 3.7% are current but have experienced a delinquency or had missing pay string data within the past 24 months.
Approximately 91% of the pool loans were underwritten to less than full documentation, and 49% were underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program.
Additionally, 33% of loans comprise a DSCR or property cash flow-focused product, 3.2% are a CPA or Profit and Loss (PnL) product and the remaining is a mix of other alternative documentation products. Separately, five loans were originated to foreign nationals and 35 were unable to confirm residency.
Fitch said it expects to assign rates as follows:
- A-1: AAA (sf)
- A-2: AA (sf)
- A-3: A (sf)
- M-1: BBB (sf)
- B-1: BB (sf)
- B-2: B (sf)
- B-3, AIOS, FB, R, SA, XS: Not rated
The full report is available at www.fitchratings.com.