KBRA has assigned preliminary ratings to six classes of mortgage pass-through notes from Imperial Fund Mortgage Trust 2022-NQM3 (IMPRL 2022-NQM3), a $402.7 million non-prime residential mortgage-backed securities (RMBS) transaction.
The underlying collateral, comprising 873 residential mortgages, is characterized by a notable concentration of alternative income documentation (95.5%). Approximately 49.8% of the loans were categorized as non-qualified mortgages, while the remaining 50.2% of loans were categorized as exempt from the ATR/QM rule due to being originated for business purposes (i.e., 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 history and the use of bank statements and other forms of alternative documentation to document income.
KBRA assigned the preliminary ratings as follows:
- A-1: AAA
- A-2: AA+
- A-3: A-
- M-1: BBB
- B-1: BB
- B-2: B-
- B-3, A-IO-S, X, R: Not rated.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its RMBS Credit Model, an examination of the results from third-party loan file due diligence performed at the time of origination of the loans, 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.
The originator, A&D Mortgage LLC, has been originating loans since 2012, KBRA said. Since 2016, more than 60% of A&D’s nearly $3.2 billion in origination has been in non-QM products, with the remainder being conventional loans. A&D Mortgage is a Fannie Mae- and Freddie Mac-approved seller and servicer and has a track record as a loan seller to various private-label securities investors, including non-QM loan aggregators and banks that aggregate Jumbo loans.
You can read KBRA’s full report at www.kbra.com (registration required).
