Skip to main content

KBRA Assigns Preliminary Ratings To NRMLT 2022-NQM2

David Krechevsky
Feb 24, 2022
KBRA New Logo

The $351.4 million non-prime RMBS transaction is sponsored by New Residential Investment Corp.

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.

To read the full report, visit www.kbra.com (registration required).

Published
Feb 24, 2022
More from
Non-QM
Non-QM Lender Newrez Offers Temporary Buydowns

Options offer borrowers a reduced interest rate in first years of a loan.

Non-QM
Nov 18, 2022
Logan Finance Credits OptifiNow TPO For Sales Team Growth

Non-QM wholesale lender credits CRM’s flexibility and innovative features as key to managing rapid growth.

Non-QM
Nov 17, 2022
Angel Oak Home Loans Selling Retail Lending Business

Non-QM lender selling ‘brick-and-mortar’ locations, staff to Cross Country Mortgage.

Non-QM
Nov 10, 2022
ACC Mortgage Promotes Industry Vet To Western Regional Sales Manager

Dave Greene has 30 years of experience in the mortgage industry.

Non-QM
Nov 10, 2022
New American Funding Lays Off 240

Calif.-based company has now cut 941 jobs in 2022.

Non-QM
Nov 08, 2022
Non-QM Lender Angel Oak Posts 3rd Straight Quarterly Loss

New CEO says he remains confident the company is uniquely positioned for success.

Non-QM
Nov 08, 2022