NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary ratings to six classes of mortgage-backed notes from GCAT 2020-NQM1 Trust, a $335.4 million non-prime RMBS transaction.

GCAT 2020-NQM1 Trust, Mortgage Pass-Through Certificates, Series 2020-NQM1 (GCAT 2020-NQM1) is a RMBS transaction sponsored by Blue River Mortgage LLC, a private REIT owned by multiple funds managed by Angelo, Gordon & Co. L.P. The $335.4 million transaction is collateralized by a pool of 621 mortgages, which are mostly classified as non-prime. Borrowers in the GCAT 2020-NQM1 pool possess a non-zero WA original credit score of 720 with an WA original loan-to-value (LTV) and combined LTV (CLTV) ratios of 69.3% and 69.4%, respectively. The mortgage loans, seasoned approximately 5 months, consist primarily of hybrid ARMs (56.1%), with initial fixed-rate periods of five (47.6%), seven (7.6%) and ten (0.8%) years. With respect to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, approximately 52.5% of the loans were designated as Non-QM, and do not benefit from the safe harbor legal protections and are potentially at heightened risk of litigation-related losses. The remainder of the collateral pool is exempt from the ATR Rules as the loans were originated for investment properties or by CDFIs.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss 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.

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About KBRA and KBRA Europe

KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.


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