KBRA Assigns Preliminary Ratings to GCAT 2019-NQM2 Trust (GCAT 2019-NQM2)

Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary ratings to six classes of mortgage-backed notes from GCAT 2019-NQM2 Trust, a $403.0 million non-prime RMBS transaction.

GCAT 2019-NQM2 Trust, Mortgage Pass-Through Certificates, Series 2019-NQM2 (GCAT 2019-NQM2) is the second RMBS transaction sponsored by Blue River Mortgage LLC, a private REIT owned by multiple funds managed by Angelo, Gordon & Co. L.P. The $403.0 million transaction is collateralized by a pool of 1,056 mortgages, which are mostly classified as non-prime. Borrowers in the GCAT 2019-NQM2 pool possess a non-zero WA original credit score of 730 with an WA original loan-to-value (LTV) and combined LTV (CLTV) ratios of 65.4% and 65.6%, respectively. The mortgage loans, seasoned approximately ten months, are predominantly hybrid adjustable-rate mortgages (ARMs) with initial fixed rate periods of five years (46.9%) and seven years (35.4%). With respect to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, approximately 50.9% 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.

KBRAs 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 transactions payment structure, reviews of key transaction parties and an assessment of the transactions legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)

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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.

Analytical:

Gary Narvaez, Senior Director

(646) 731-2478

[email protected]

Sharif Mahdavian, Senior Director

(646) 731-2301

[email protected]

Jack Kahan, Senior Managing Director

(646) 731-2486

[email protected]

Fei Han, Analyst

(646) 731-2342

[email protected]