Skip to main content

KBRA Assigns Preliminary Ratings To GCAT 2021-NQM5 Trust

David Krechevsky
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.

Published
Oct 06, 2021
More from
Non-QM
SGR 2021-2 RMBS Offering Includes Non-QM Loans

The $229.4M offering received preliminary ratings from KBRA

Non-QM
Oct 22, 2021
Sprout Unveils Non-QM Bank Statement Analyzer

Sprout Mortgage has added to its line of automation tools for digital mortgages with the release of its third originator-focused mortgage tool. 

Non-QM
Oct 20, 2021
Global Atlantic Acquires Majority Stake in eRESI Mortgage

eRESI Mortgage LLC, a mortgage funding platform offering private capital to the residential mortgage market, has announced that subsidiaries of The Global Atlantic Financial Group have made a commitment to become its majority owner.

Non-QM
Oct 13, 2021
KBRA Assigns Preliminary Ratings To EFMT 2021-3

Non-QM loans makes up 59% of the $257.6M non-prime RMBS transaction

Non-QM
Oct 07, 2021
Plaza Home Mortgage Relaunches Solutions Non-QM Program

Plaza Home Mortgage, Inc. is re-activating its Solutions Non-QM program, offering loan amounts up to $3.5 million.

Non-QM
Sep 30, 2021
KBRA Assigns Preliminary Ratings To Provident Funding Mortgage Trust

KBRA assigned preliminary ratings to 27 classes of mortgage pass-through certificates from Provident Funding Mortgage Trust 2021-J1 (PFMT 2021-J1).

Investor Loans
Sep 29, 2021