KBRA Assigns Preliminary Ratings to GCAT 2021-NQM4 Trust (GCAT 2021-NQM4)

NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to seven classes of mortgage pass-through certificates from GCAT 2021-NQM4 Trust (GCAT 2021-NQM4), a $267.9 million non-prime RMBS transaction. The underlying collateral, comprising of 463 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 79.6% of the loans underwritten to <12-month, 12-month or 24-month Bank Statements (49.2%), DSCR Investor (14.1%), Investor No Ratio (0.1%), CPA letters with P&L statements (9.6%), Asset Utilization (5.7%) and WVOEs (4.2%). Approximately 63.8% of the loans were categorized as non-qualified mortgages (Non-QM). The remaining loans were categorized as exempt from the ATR/QM rule having been originated for a business purpose (i.e., investment properties) or through a CDFI. The GCAT 2021-NQM4 transaction is notable as it is the first KBRA-rated RMBS transaction to include a portion of the loan portfolio (14.2%) for which the third-party due diligence review will not be completed until up to 89 days after closing.

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. This analysis is further described in our U.S. RMBS Rating Methodology.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• GCAT 2021-NQM4 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)
• U.S. RMBS Rating Methodology
• U.S. RMBS Mortgage Default and Loss Model Methodology
• Global Structured Finance Counterparty Methodology
• ESG Methodology

Disclosures

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

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

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

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization 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.