KBRA Assigns Preliminary Ratings to HOMES 2024-NQM2 Trust
15 Nov 2024 | New York
KBRA assigns preliminary ratings to nine classes of mortgage pass-through certificates from HOMES 2024-NQM2 Trust, the first to be rated by KBRA. The $374.6 million RMBS transaction is collateralized by a pool of 659 residential mortgages, with fixed-rate mortgages (FRMs) and hybrid adjustable-rate mortgages (ARMs) making up 92.6% and 7.4% of the pool, respectively. The deal includes a meaningful concentration (90.1%) of collateral that KBRA considers to be “non-prime,” where most loans are either classified as Non-QM (48.8%) or exempt (47.8%). Acra Lending (37.2%) and Angel Oak (20.1%) were the two originators comprising over 10% of the pool.
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.
To access ratings and relevant documents, click here.
Click here to view the report.