KBRA has assigned preliminary ratings to 27 classes of mortgage pass-through certificates from GS Mortgage-Backed Securities Trust 2022-NQM1 (GSMBS 2022-NQM1), a $341.2 million non-prime RMBS transaction.
KBRA assigned preliminary ratings as follows:
- A-5, A-5-X, A-9, A-9-X, A-13, A-13-X: AAA
- A-15, A-15-X, A-X-1: AA+
- B-1, B-2, B-3, B-4, B-5, B-6: Not rated.
The underlying collateral, comprising 527 residential mortgages, is characterized by a notable concentration of alternative income documentation. Borrowers in the subject pool possess a non-zero weighted average (WA) original credit score of 746 and exhibit substantial equity in each mortgaged property, with WA original loan-to-value (LTV) of 71.4% and combined LTV (CLTV) ratios of 71.5%.
Approximately 80.4% of the loans are classified as non-qualified mortgages (non-QM), and 3.4% of the loans are categorized as qualified mortgages (QM). The remaining 16.2% of the pool are exempt from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to either being originated for non-consumer loan purposes or being originated prior to the rule’s effective date.
The underlying collateral includes both fixed-rate mortgages (92.3%) and adjustable-rate mortgages (ARMs; 7.7%), and approximately 17.5% of the loans possess an interest-only period.
Sprout Mortgage LLC originated 26.7% of the loans, with no other originators comprising more than 20% of the pool. Notably, GSMBS 2022-NQM1 includes a senior/subordinate shifting interest structure in place of the sequential or modified sequential structure typically seen in non-QM transactions.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its U.S. RMBS Mortgage Default and Loss Model, an examination of the results from third-party loan file due diligence, 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.
