KBRA issues preliminary ratings to Imperial Fund Mortgage Trust 2022-NQM4 (IMPRL 2022-NQM4)


NEW YORK–(BUSINESS WIRE)–KBRA assigns preliminary ratings to six classes of Imperial Fund Mortgage Trust Mortgage Notes 2022-NQM4 (IMPRL 2022-NQM4), a $392.1 million non-senior RMBS transaction. The underlying collateral, consisting of 909 residential mortgage loans, is characterized by a notable concentration of alternative income documentation (94.7%). With respect to the repayment capacity/qualifying mortgage (ATR/QM) rule, approximately 39.2% of loans were categorized as non-qualifying mortgages (non-QM). The remaining loans (50.2%) were classified as QM: Safe Harbor (0.2%) or exempt from the ATR/QM rule due to their origin for business purposes (i.e., buildings investment; 60.6%).

KBRA’s scoring approach incorporated loan-level analysis of the mortgage pool through its RMBS credit model, a review of the results of due diligence of third-party loan files performed at the time of loan origination, a cash flow modeling analysis of the transaction’s payment structure, reviews of the principal parties to the transaction, and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our US RMBS Rating Methodology.

Click here to see the report. To access relevant notes and documents, click here.

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Disclosures

Further information on key credit considerations, sensitivity analyzes which look at factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a driver key to the change in credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of the main relevant rating assumptions, the where applicable) used to determine credit rating are available in the information disclosure form(s) located here.

Information on the meaning of each rating category can be found here.

Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.

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