Financial News
KBRA Assigns Preliminary Ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1 (MSRM 2024-NQM1)
KBRA assigns preliminary ratings to 6 classes of mortgage-backed certificates from Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1 (MSRM 2024-NQM1), a $301.3 million non-prime RMBS transaction. The underlying collateral, comprising 662 residential mortgages, is characterized by a notable concentration of alternative income documentation (88.7%). Most of the loans are either classified as non-qualified mortgages (Non-QM) (33.1%) or exempt (62.6%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, 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 rating and relevant documents, click here.
Click here to view the report.
Related Publications
Methodologies
- RMBS: U.S. RMBS Rating Methodology
- Structured Finance: Global Structured Finance Counterparty Methodology
- ESG Global Rating 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. 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.
Doc ID: 1003285
View source version on businesswire.com: https://www.businesswire.com/news/home/20240221402431/en/
Contacts
Analytical
Chris Deasy, Director (Lead Analyst)
+1 646-731-1311
chris.deasy@kbra.com
Abou Traore, Associate
+1 646-731-1258
abou.traore@kbra.com
Jack Kahan, Senior Managing Director, Head of Global RMBS (Rating Committee Chair)
+1 646-731-2486
jack.kahan@kbra.com
Business Development
Daniel Stallone, Senior Director
+1 646-731-1308
daniel.stallone@kbra.com
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