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Fitch Expects To Rate RUN 2022-NQM1 Trust

David Krechevsky
Mar 23, 2022
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The residential mortgage-backed certificates are supported by 525 nonprime residential mortgages, with a total balance of approximately $331 million.

Fitch Ratings has announced it expects to rate residential mortgage-backed certificates issued by RUN 2022-NQM1 Trust (RUN 2022-NQM1). The transaction is expected to close on March 31, 2022. The certificates are supported by 525 nonprime residential mortgages, with a total balance of approximately $331 million as of the cutoff date.

The borrowers have a moderate credit profile — 739 model FICO and 43% model debt to income ratio (DTI) — and leverage — 82% sustainable loan-to-value ratio (sLTV) and 73% combined LTV (cLTV). 

The pool consists of 52% of loans where the borrower maintains a primary residence, while 44% comprise an investor property. Additionally, 56% are non-qualified mortgages (non-QM); the QM rule does not apply for the remainder.

Fitch said it expects to assign its ratings as follows:

  • A-1: AAAsf
  • A-2: AAsf
  • A-3: Asf
  • B-1: BB-sf
  • B-2: B-sf
  • M-1: BBB-sf
  • A-IO-S, B-3, R, LT: Not rated.

Due to Fitch's updated view on sustainable home prices, we view the home-price values of this pool as 10.6% above a long-term sustainable level (vs. 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates, and new buyers entering the market. These trends have led to significant home-price increases over the past year, with home prices rising 18.8% year-over-year nationally as of December 2021.

You can read the full report from Fitch at

Mar 23, 2022
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