KBRA Assigns Preliminary Ratings To NRMLT 2022-NQM2
Summary
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. 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%). KBRA assigned the preliminary ratings as follows: 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.