KBRA has assigned preliminary ratings to 10 classes of mortgage-backed certificates issued by Morgan Stanley Residential Mortgage Loan Trust 2024-NQM3 (MSRM 2024-NQM3), a $399.6 million non-prime residential mortgage-backed securities (RMBS) transaction. The underlying collateral consists of 863 residential mortgages, with 82.8% of the loans relying on alternative income documentation. The majority of the loans are classified as either non-qualified mortgages (Non-QM) (45.7%) or exempt (47.2%) from the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, as they were originated for non-consumer loan purposes.
KBRA’s ratings approach included a loan-level analysis of the mortgage pool through its Residential Asset Loss Model (REALM), along with an examination of third-party due diligence results, cash flow modeling of the transaction’s payment structure, reviews of key transaction participants, and an assessment of the transaction’s legal structure and documentation. Further details on this analysis are outlined in KBRA’s U.S. RMBS Rating Methodology.
For full access to the rating and associated documents, click here.
For additional insights, you can also view the related publications:
- MSRM 2024-NQM3 Tear Sheet
- RMBS KCAT
Additional methodologies related to this rating action include:
- U.S. RMBS Rating Methodology
- Global Structured Finance Counterparty Methodology
- ESG Global Rating Methodology
Further information on credit considerations, sensitivity analyses, and ESG factors that could affect these ratings can be found in the full rating report. KBRA also provides detailed disclosures on all substantial material sources and methodologies used in determining the ratings, accessible via the Information Disclosure Form(s) located here.
For a breakdown of KBRA’s rating categories and further policies, methodologies, and disclosures, visit 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. It is also registered with the European Securities and Markets Authority (ESMA) and the UK Financial Conduct Authority (FCA). KBRA is recognized by the Ontario Securities Commission and the National Association of Insurance Commissioners.
