KBRA Assigns Preliminary Ratings to EFMT 2024-NQM1
25 Oct 2024 | New York
KBRA assigns preliminary ratings to seven classes of mortgage pass-through certificates from EFMT 2024-NQM1, a $290.5 million non-prime RMBS transaction. The underlying collateral, comprising 677 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 79.1% of the loans underwritten using bank statements, DSCR, and asset underwriting documentation types. Approximately 65.6% 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).
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its 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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