KBRA Assigns Preliminary Ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2 (MSRM 2024-NQM2)

Business Wire

17 May 2024 at 2:51 pm·2-min read

NEW YORK, May 17, 2024--(BUSINESS WIRE)--KBRA assigns preliminary ratings to 8 classes of mortgage-backed certificates from Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2 (MSRM 2024-NQM2), a $299.5 million non-prime RMBS transaction. The underlying collateral, comprising of 696 residential mortgages, is characterized by a notable concentration of alternative income documentation (91.6%). The majority of the loans are either classified as non-qualified mortgages (Non-QM) (45.9%) or exempt (41.0%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule due to being originated for non-consumer loan purposes.

To access rating and relevant documents, click here.

Click here to view the report.

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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: 1004352

View source version on businesswire.com: https://www.businesswire.com/news/home/20240517434706/en/

Contacts

Analytical Contacts

Edward DeVito, Senior Managing Director (Lead Analyst)
+1 646-731-2319
edward.devito@kbra.com

Liam Vauk, Senior Analyst
+1 646-731-1323
liam.vauk@kbra.com

Jack Kahan, Senior Managing Director, Head of Global RMBS (Rating Committee Chair)
+1 646-731-2486
jack.kahan@kbra.com

Business Development Contact

Daniel Stallone, Managing Director
+1 646-731-1308
daniel.stallone@kbra.com

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KBRA Assigns Preliminary Ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2 (MSRM 2024-NQM2)

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