KBRA assigns preliminary scores to GCAT 2021-NQM2 Trust (GCAT 2021-NQM2)
NEW YORK–(BUSINESS WIRE) – The Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to seven classes of GCAT 2021-NQM2 Trust Mortgage Pass-Through Certificates (GCAT 2021-NQM2), a non-prime RMBS transaction of $ 210.0 million. The underlying guarantee, consisting of 377 residential mortgage loans, is characterized by a notable concentration of alternative income documents, 89.9% of loans taken out with bank statements loans were classified as exempt from the ATR / QM rule having been created for commercial purposes (ie investment property) or through a CDFI.
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 granting, a cash flow modeling analysis of the transaction payment structure. , reviews of the principal parties to the transaction and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.
Further information on key credit considerations, sensitivity analyzes that take into account the factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a key driver of change in credit rating or rating outlook) can be found in the comprehensive rating report mentioned above.
A description of all substantially significant sources that were used in preparing the credit rating and information on the methodology (s) (including significant models and sensitivity analyzes of key relevant rating assumptions, where applicable applicable) used to determine the 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 action is available in the information disclosure form (s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and information is available at: www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as CRA with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is designated as a designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.