KBRA Assigns Preliminary Ratings to IMPRL 2021-NQM4 – NMP Skip to main content

KBRA Assigns Preliminary Ratings to IMPRL 2021-NQM4

David Krechevsky
Nov 22, 2021
KBRA New Logo

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

Nov 22, 2021
More from
Angel Oak Closes 2nd Non-QM Securitization Since IPO

This was the company’s seventh securitization and its 28th residential securitization overall completed under its affiliate’s AOMT shelf.

Dec 02, 2021
Fitch Assigns Expected Ratings To COLT 2021-5

Fitch Ratings is expected to rate COLT 2021-5 Mortgage Loan Trust's residential mortgage-backed certificates.

Industry News
Nov 19, 2021
AOMS Adds Account Executives To Meet Increased Non-QM Demand

Angel Oak Mortgage Solutions just rolled through a $1 billion quarter and is adding to its growing roster of account executives to meet the current demand for non-QM and company growth.

Nov 16, 2021
Deephaven, Lender Price Team To Promote Non-QM Loans

Partnership to Leverage Lender Price’s mortgage pricing & underwriting engine with Deephaven’s non-agency products.

Nov 10, 2021
Angel Oak Posts 3Q 2021 Earnings

Non-QM investor purchased $534M in loans in the quarter, increasing portfolio to more than $1B.

Nov 10, 2021
Lakeview, Silver Hill Partner To Expand Investor Loans

Will offer a diverse range of conventional, Non-QM, and small-balance commercial loan products.

Nov 09, 2021