KBRA Assigns Preliminary Ratings To Barclays Mortgage Loan Trust Non-QM Transaction

KBRA has assigned preliminary ratings to six classes of mortgage pass-through notes from Barclays Mortgage Loan Trust 2022-NQM1 (BARC 2022-NQM1).

The $255.3 million non-prime residential mortgage-backed securities (RMBS) transaction is sponsored by Sutton Funding LLC. 

The underlying collateral comprises 718 residential mortgages and is characterized by a notable concentration (96.2%) of loans underwritten with low-to-moderate original loan-to-value (LTV) ratios and non-traditional income documentation. 

The collateral consists primarily of mortgages originated by Carrington Mortgage Services LLC (79.3%) and purchased by Invigorate Finance. 

The mortgage loans, seasoned approximately eight months, include both fixed-rate mortgages (FRMs; 94%) and adjustable-rate mortgages (ARMs 6%). Additionally, approximately 2.6% of the pool has an initial interest-only period. 

Approximately 48% of the loans were categorized as non-qualified mortgages (Non-QM) under the Ability-toRepay/Qualified Mortgage (ATR/QM) rule. The remaining loans were either QM Rebuttable Presumption or Higher Priced QM (0.8%) or exempt from the ATR/QM rule due to being originated for business purposes (51.2%).

KBRA assigned the preliminary ratings 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, A-IO-S, X, R: Not rated.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its RMBS Credit Model, an examination of the results from third-party loan file due diligence performed at the time of origination of the loans, 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. 

You can read the full report at www.kbra.com.