GCAT enters market with $ 272.2 million in RMBS


GCAT 2021-NQM7 Trust is preparing to issue $ 274.2 million in notes, including unrated categories, secured by a wide range of residential properties. The pool includes a high concentration of loans taken out with alternative documents and a commercial real estate program.

Credit Suisse Securities and Barclays Capital are the first buyers of the notes in the transaction. Blue River Mortgage II, a non-QM mortgage vehicle, is sponsoring the transaction, according to the Kroll Bond rating agency. The pool consists of 654 loans.

The Notes will be issued from a sequential hybrid structure, and the subordination and excess spread will provide credit enhancement for the payment of the Notes, according to KBRA. Class A-1X certificates have a notional amount that is expected to be reduced to zero in the 41st month of the transaction. After that, the deal will benefit more from further credit enhancement in the form of excess margin, KBRA said.

This arrangement has its limits, however. Any monthly excess cash flow that exceeds current or previously applied losses will be released and will not be available as a future credit enhancement, KBRA said.

About 51.5% of the pool’s loans were taken out using bank statements or income statements, and 20.8% were issued through a commercial real estate investment program or when the revenues were verified using asset depletion, according to S&P Global Ratings, which plans to rate the ratings.

Despite the operation’s alternative underwriting methods, the rating agencies noted several positive features about it. According to the KBRA, fixed rate mortgages (55.1%) make up the majority of the portfolio, and the remainder falls under the categories of variable rate (44.9%) and approximately interest-only (7.2%) mortgages. ).

Geographically, a significant percentage of the GCAT 2021 pool balance is concentrated in California and New York, for a total of 64.7%. Florida (8.5%), New Jersey (4.4%) and Texas (3.0%). By metropolitan area, New York City actually represents the highest concentration of pool loan balances, at 33.5%.

On average, the average pool balance was $ 420,040. On a weighted average (WA) basis, the loan / initial balance ratio is 67.5%; the original FICO score was 737; and the WA loan age was 22.9 months.

About 62.0% of borrowers are self-employed, and the median pool income is $ 132,426.

About 500 loans of the loans, or 78.3%, never received assistance or deferral of forbearance related to COVID. Only 10.3% of the pool participated in a forbearance plan, and the borrowers of these loans repaid all previous payments in full.


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