KBRA assigns preliminary ratings to Imperial Fund Mortgage Trust 2021-NQM4 (IMPRL 2021-NQM4)

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NEW YORK – (BUSINESS WIRE) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six categories of mortgage transfer ratings from the Imperial Fund Mortgage Trust 2021-NQM4 (IMPRL 2021-NQM4) , an investment of $ 301.2 million RMBS Operation. The underlying guarantee, made up of 663 residential mortgage loans, is characterized by a notable concentration of alternative income documents (94.5%). Regarding the Repayment Ability / Qualifying Mortgage (ATR / QM) rule, approximately 60.3% of the loans were classified as Non-Qualifying Mortgages (Non-QM). The remaining loans (39.7%) were classified as exempt from the ATR / QM rule due to their origin for commercial purposes (i.e. investment property).

KBRA’s scoring approach included a loan-level analysis of the mortgage pool through its US RMBS mortgage default and loss model, a review of the results of due diligence of third-party loan files, a modeling analysis cash flow of the transaction payment structure, reviews of the key transaction parties and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.

Click here to view the report. To access the assessments and relevant documents, click here.

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Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an improvement or a downgrade, and ESG factors (when they are a factor). key to the change in credit rating or rating outlook) can be found in the full assessment report referenced above.

A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of relevant key rating assumptions, if any) used to determine The credit rating is available in the Information Disclosure Form (s) located here.

Here you will find information about the meaning of each rating category.

Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA’s 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 United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the Financial Conduct Authority of the United Kingdom under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.

Analytical contacts

Ryon Aguirre, Director (Principal Analyst)

+1 (646) 731-1239

[email protected]

Thomas Reilly, Senior Analyst

+1 (646) 731-2317

[email protected]

Jack Kahan, Senior Managing Director (Chairman of the Rating Committee)

+1 (646) 731-2486

[email protected]

Contact business development

Dan Stallone, Director

+1 (646) 731-1308

[email protected]

Source: Kroll Bond Rating Agency

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