Non-Prime RMBS Transaction with Alternative Income Documentation

  • KBRA assigns preliminary ratings to six classes of mortgage pass-through notes from Verus Securitization Trust 2024-8 (VERUS 2024-8)
  • Transaction worth $593.6 million and consists of 1,229 non-prime residential mortgages
  • Mortgages have a significant concentration of loans with alternative income documentation
  • Loans are classified as exempt from ATR/QM rule, QM: Safe Harbor, Non-QM or QM: Rebuttable Presumption
  • KBRA’s rating approach includes loan-level analysis, cash flow modeling and review of transaction parties
  • ESG factors may impact credit ratings

KBRA has assigned preliminary ratings to six classes of mortgage pass-through notes from Verus Securitization Trust 2024-8 (VERUS 2024-8), a $593.6 million non-prime residential mortgage-backed securities (RMBS) transaction. The underlying collateral consists of 1,229 mortgages with significant concentration of loans underwritten using alternative income documentation. Most loans are exempt from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes. The remaining loans are classified as QM: Safe Harbor, Non-QM or QM: Rebuttable Presumption. KBRA’s rating approach incorporates loan-level analysis through its Residential Asset Loss Model (REALM), cash flow modeling of the transaction’s payment structure, reviews of key transaction parties, and an assessment of the transaction’s legal structure and documentation. Environmental, Social, and Governance (ESG) factors may impact credit ratings. For more information, visit www.kbra.com.

Factuality Level: 10
Factuality Justification: The article provides accurate and objective information about a mortgage pass-through notes transaction, including details on the underlying collateral, loan classifications, KBRA’s rating approach, and relevant methodologies used in their analysis. It also includes links to access more information and disclosures.
Noise Level: 8
Noise Justification: The article contains technical financial information and industry-specific terminology that may be difficult for a general audience to understand without prior knowledge of the subject matter. It lacks context or explanation of key terms and concepts, making it less accessible for readers who are not familiar with this field.
Public Companies: Kroll Bond Rating Agency, LLC (N/A)
Key People:

Financial Relevance: Yes
Financial Markets Impacted: No
Financial Rating Justification: The article discusses the preliminary ratings assigned to mortgage pass-through notes from Verus Securitization Trust 2024-8, a non-prime RMBS transaction. It mentions residential mortgages and loan classifications, which are financial topics. However, it does not mention any specific impact on financial markets or companies.
Presence Of Extreme Event: No
Nature Of Extreme Event: Other
Impact Rating Of The Extreme Event: No
Extreme Rating Justification: There is no extreme event mentioned in the article.
Deal Size: The deal size mentioned in this article is $593.6 million.
Move Size: No market move size mentioned.
Sector: All
Direction: Up
Magnitude: Medium
Affected Instruments: Stocks

Reported publicly: www.businesswire.com