RMBS

The pro-rata/sequential hybrid structure provides some credit enhancement along with cumulative loss and delinquency trigger events and excess spread.

Most of the loans, 97.2%, were underwritten to less than full documentation, while 30.1% of the loans verified income on 12- or 24-month bank statements.

Most California households and businesses lack adequate flood insurance protections, raising concerns about eventual risks to RMBS and CMBS transactions.

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.