KBRA Assigns Preliminary Ratings to Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2 (MSRM 2024-NQM2)
May 17 2024 - 2:51PM
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.
Related Publications
- MSRM 2024-NQM2 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
Methodologies
- RMBS: U.S. RMBS Rating Methodology
- Structured Finance: Global Structured Finance Counterparty
Methodology
- ESG Global Rating Methodology
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
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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