KBRA Assigns Preliminary Ratings To GCAT 2021-NQM5 Trust – NMP Skip to main content

KBRA Assigns Preliminary Ratings To GCAT 2021-NQM5 Trust

Oct 06, 2021
KBRA New Logo

The $348.3M non-prime RMBS transaction includes 51.4% non-QM loans

Kroll Bond Rating Agency (KBRA) has assigned preliminary ratings to seven classes of mortgage pass-through certificates from GCAT 2021-NQM5 Trust (GCAT 2021-NQM5), a $348.3 million non-prime RMBS transaction.

The preliminary ratings assigned by KBRA are as follows:

  • A-1: AAA
  • A-2: AA+
  • A-3: A+
  • M-1: BBB+
  • B-1: BB+
  • B-2: B+
  • B-3: Not rated

The underlying collateral, comprised of 610 residential mortgages, includes a notable concentration of alternative-income documentation, with 86.6% of the loans underwritten to <12-month, 12-month or 24-month Bank Statements (43.5%), DSCR Investor (14.4%) and Investor No Ratio (1.0%), CPA Letters with P&L Statements (15.8%), Asset Utilization (5.4%), Rental Income (0.1%), and WVOEs (6.6%).

Approximately 51.4% of the loans were categorized as non-qualified mortgages (non-QM). The remaining loans were categorized as exempt from the ATR/QM rule, having been originated for a business purpose or through a community development financial institution (CDFI). The GCAT 2021-NQM5 transaction is notable as it is the second KBRA-rated RMBS transaction to include a portion of the loan portfolio (19%) for which the third-party due diligence review will not be completed until up to 89 days after closing.

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.

The full report is available at www.kbra.com.

About the author
David Krechevsky was an editor at NMP.
Published
Oct 06, 2021
More from
Non-QM
Figure’s Prefunded Deal Shifts Rate Risk From Originators To Bond Investors

Originators get a locked exit in a private-credit market hungry for funding certainty

Jul 03, 2026
How To Qualify Self-Employed Borrowers When Tax Returns Fall Short

A practical guide to using bank statement loans for borrowers whose cash flow isn't reflected on their tax returns

Jul 01, 2026
Untapped Home Equity Creates Opportunity For Alternative-Doc HELOCs

New Home Equity Gap Index estimates U.S. homeowners hold $11 trillion in available equity as some Non-QM lenders expand options for self-employed borrowers

Jun 26, 2026
Non-QM Moves From Backup Plan To Broker Strategy

74.5% of brokers report growing Non-QM volume in their business, according to a new A&D Mortgage survey

Jun 24, 2026
NMP Deal Desk: Kind Lending Highlights How Asset Utilization Can Help Qualify More Non-QM Borrowers

Kind Lending executives discussed how asset depletion works, which borrowers may benefit most, and why brokers should take a closer look at borrowers with significant assets but non-traditional income

Jun 17, 2026
Private Lender Arixa Tops $8B In Originations

Private lender points to growing demand for construction and renovation financing as banks remain selective

Jun 17, 2026