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.
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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.
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