KBRA assigns preliminary ratings to six classes of mortgage pass-through certificates from New Residential Mortgage Loan Trust 2022-NQM2 (NRMLT 2022-NQM2), a $351.4 million non-prime RMBS transaction sponsored by New Residential Investment Corp.
The underlying collateral, comprising 589 residential mortgages, is characterized by a significant concentration of loans underwritten using alternative income documentation. Borrowers in the subject pool possess a non-zero weighted-average (WA) original credit score of 752 and exhibit substantial equity in each mortgaged property, with WA loan-to-value (LTV) and combined LTV (CLTV) ratios of 70.5% and 70.5%, respectively.
The loans are seasoned approximately one month and include both fixed-rate mortgages (99.3%) and adjustable-rate mortgages (0.7%). Approximately 16.9% of the pool has an initial interest-only period. Borrower income documentation includes both 12-month (37.4%) and 24- month (48.1%) bank statements, as well as loans underwritten to debt service coverage ratios (14.5%). Approximately 74.2% of the loans were categorized as non-qualified mortgages (Non-QM) under the Ability-toRepay/Qualified Mortgage (ATR/QM) rule, with the remaining loans designated as exempt from the rule due to being originated for business purposes (25.8%).
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, XS-1, XS-2, A-IO-S, 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.
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