KBRA Assigns Preliminary Ratings To GCAT Non-QM Trust

GCAT 2021-NQM5 is a $348.3 million non-prime RMBS transaction. Approximately 51.4% of the loans were categorized as non-qualified mortgages. The remaining loans were categorized as exempt from the ATR/QM rule having been originated for a business purpose (i.e., investment properties) or through a CDFI.

According to KBRA, the transaction is the second KBRA-rated RMBS transaction to include a portion of the loan portfolio (19.0%) for which the third-party due diligence review will not be completed until up to 89 days after closing.

KBRA states that underlying collateral includes both fixed-rate mortgages (95.3%) and adjustable-rate mortgages (4.7%), and approximately 15.9% of the loans possess an interest-only period.

“While the GCAT has chosen to test all loans with application dates after Oct. 3, 2015 for TRID Rule compliance, approximately 83.0% of the pool meet the above requirements to be subject to the TRID rule (TRID-Eligible Loans),” according to the report.

The TRID Rule permits assignee liability for certain violations of disclosure requirements

GCAT 2021-NQM5 Trust is a non-prime RMBS transaction sponsored by Blue River Mortgage II LLC, a non-QM mortgage vehicle owned by a single fund managed by Angelo, Gordon & Co. L.P. (AG), a global asset management firm with approximately $44 billion assets under management.