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KBRA Assigns Preliminary Ratings to IMPRL 2021-NQM4

Nov 22, 2021
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Imperial Fund Mortgage Trust 2021-NQM4 is a $301.2M RMBS transaction comprised of a majority of non-QM loans.

Kroll Bond Rating Agency (KBRA) has recently assigned preliminary ratings to six classes of mortgage pass-through notes from Imperial Fund Mortgage Trust 2021-NQM4 (IMPRL 2021-NQM4), a $301.2 million non-prime RMBS transaction.

The underlying collateral comprises 663 residential mortgages and is characterized by a significant concentration (94.5%) of alternative-income documentation. Under the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, approximately 60.3% of the loans were categorized as non-qualified mortgages, or  non-QM. The remaining 39.7% of loans were categorized as exempt from the ATR/QM rule due to being originated for business purposes, such as investment properties.

This transaction contains loans which KBRA generally considers to be non-prime due to certain loan or borrower characteristics that include borrowers with blemished credit histories and the use of bank statements and other forms of alternative documentation to document income.

KBRA assigned preliminary ratings as follows:

  • Class A-1: AAA
  • Class A-2: AA+
  • Class A-3: A+
  • Class M-1: BBB+
  • Class B-1: BB+
  • Class B-2: B
  • Class B-3, A-IO-S, X, R: Not rated

This transaction utilizes a hybrid pro-rata/sequential payment structure, which provides for pro-rata principal distribution among the Class A Notes before any principal allocation to the Class M-1 or Class B Notes, and a trigger-based prioritization of Class A-1/A-2 principal and interest as described within.

IMPRL 2021-NQM4 is sponsored by Imperial Fund II LLC, and the underlying loans were underwritten by A&D Mortgage LLC. In addition, all loans will be serviced by Specialized Loan Servicing LLC.

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.

For the full report, visit www.kbra.com

About the author
David Krechevsky was an editor at NMP.
Published
Nov 22, 2021
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