Fitch Ratings said Tuesday it has assigned final ratings to Imperial Fund Mortgage Trust (IMPRL) 2023-NQM1, a securitization backed primarily by non-qualified mortgage (Non-QM) loans originated by A&D Mortgage LLC.
The residential mortgage-backed certificates are supported by 974 loans with a balance of approximately $364.84 million as of the cutoff date, Fitch said, adding that this is the trust’s 13th transaction and eighth rated by Fitch.
Fitch assigned its final ratings as follows:
- A-1: AAA (sf)
- A-2: AA- (sf)
- A-3: A- (sf)
- A- (sf)
- M-1: BBB- (sf)
- B-1, B-2, B-3, A-IO-S, X, R: Not rated
The certificates are secured primarily by newly originated, fixed-rate mortgage loans. Of the loans in the pool, 93.8% were originated by A&D Mortgage; the remaining 6.2% were originated by A&D's correspondent lenders. All loans were originated to A&D Mortgage guidelines and standards.
A&D Mortgage is assessed by Fitch as an “average” originator. The named servicer is A&D Mortgage LLC, which is assessed by Fitch as “RPS3'/Stable.” The master servicer is Nationstar Mortgage LLC (RMS2+/Stable).
Of the loans in the pool, 43.2% are designated as Non-QM, while 0.1% are designated as safe harbor qualified mortgages (SHQMs), and 56.8% are not subject to the Consumer Financial Protection Bureau's (CFPB) Ability to Repay Rule (ATR), Fitch said.
The collateral consists mainly of 30-year, fixed-rate, fully amortizing loans (92.6%), followed by 2.8% 30-year, fixed-rate loans with an initial interest-only (IO) term; 1.8% 40-year, fixed-rate fully amortizing loans; 0.5% 40-year, fixed-rate loans with an initial IO term; 0.4% 30-year ARMs; and 1.9% one-year, two-year, five-year and 40-year fixed-rate loans with a balloon payment.
The pool is seasoned at approximately four months in aggregate, as determined by Fitch.
Borrowers in the pool have relatively strong credit profiles, with a Fitch-determined 730 weighted-average (WA) model FICO score of 735, a Fitch-determined 47.8% debt-to-income (DTI) ratio (33.84% DTI per the transaction documents) and an original combined loan-to-value (CLTV) ratio of 72.4% that translates to a Fitch-calculated sustainable LTV ratio of 79.2%.
The Fitch DTI is higher than the DTI in the transaction documents due to Fitch converting the debt service coverage ratio (DSCR) to a DTI for the DSCR loans, the agency said.
You can read the full report at www.fitchratings.com.
