KBRA Assigns Ratings to GCAT 2024-NQM1 Trust
31 Jan 2024 | New York
KBRA assigns ratings to six classes of mortgage pass-through notes from GCAT 2024-NQM1 Trust, a $285.1 million non-prime RMBS transaction. The underlying collateral, comprising 609 residential mortgages, is characterized by a significant concentration of loans underwritten using alternative income documentation. Borrowers in the subject pool possess a non-zero WA original credit score of 748 and exhibit modest equity in each mortgaged property, with WA LTV and combined LTV (CLTV) ratios of 72.6% and 72.6%, respectively.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, Residential Asset Loss Model (REALM), an examination of the results from third-party loan file due diligence, 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.
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