RMBS

Though EFMT is considered non-prime, its mortgage borrowers have a WA original credit score of 737; an LTV of 71.0%; and a debt to income ratio of 33.1%.

Deterioration in credit quality should put strain on collateral originated in late 2021 and early 2022, affecting performance, Barclays Credit Research said.

Certificates will be supported by 407 home loans, two of which are adjustable-rate mortgage (ARM) loans that reference the one-year LIBOR.

Investors in the senior classes of the capital structure will receive principal and interest payments sequentially, beginning with class A, until class E2 receives all of its principal and interest.

A&D Mortgage originated a vast majority of the pool, 96.7%, and the company plays a number of other roles on the film, such as servicer and provider of the R&W.

The NRMLT 2022-NQM2 payment structure provides for a waterfall of distribution to all of the classes of notes at all times, including classes A-1 through A-3.

Collateral characteristics are slightly weaker than previous deals, due to a higher proportion of loans underwritten to alternative income documentation.

First-lien, agency-eligible mortgages secure the notes in the deal, which will issue notes through a senior-subordinate and shifting interest structure.

ABS issuance performance is largely neutral, with exceptions for stepped up volume, including auto. Inflation and COVID-related risks could overhang the industry.

Even among the non-QM loans in the reference pool, pegged to the SOFR, most of their characteristics fall in line with what is considered prime.