Blue River Mortgage II LLC is a non-QM mortgage vehicle owned by a single fund managed by Angelo, Gordon & Co. L.L., a global asset management firm with approximately $44 billion assets under management, according to KBRA. The GCAT 2021-NQM7 pool comprises 654 loans with an aggregate unpaid principal balance (UPB) of $274.7 million as of the transaction’s statistical cut-off date of Nov. 1, 2021.
The largest originators are Quontic Bank (34.3%), Arc Home LLC (31.1%), and AmWest Funding (15.0 %). The loans will be serviced by AmWest, Metro City, and Royal Business Bank (each for their respective originations), and by Shellpoint for the remaining collateral, according to KBRA's preliminary ratings.
“The underlying collateral includes both fixed-rate mortgages (FRMs; 55.1%) and adjustable-rate mortgages (ARMs; 44.9%), and approximately 7.2% of the loans possess an interest-only period. Borrowers in the transaction possess a non-zero WA original credit score of 737, and exhibit substantial equity in each mortgaged property (original LTV = 67.5%; original CLTV = 67.5%). Approximately 49.4% of the loans were categorized as non-qualified mortgages (Non-QM) under the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule,” according to the ratings.
Remaining loans were exempt from the ATR/QM rule, as they were being originated for business purposes (50.6%). KBRA added that the loans exhibit a WALA of 22.9, with a portion of loans having been previously securitized in prior GCAT transactions.
The company does note in its ratings that some borrowers in the pool do exhibit certain credit attributes seen in prime or expanded prime RMBS, which include relatively strong credit scores and low LTV ratios. These loans would typically require exceptions to prime/super-prime guidelines with compensating factors.