A&D Mortgage Trust 2024-NQM4 Certificates Assigned Preliminary Ratings
Overview
- A&D Mortgage Trust 2024-NQM4's issuance is an RMBS transaction backed by first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers.
- We assigned our preliminary ratings to the class A-1A, A-1B, A-1, A-2, A-3, M-1, B-1A, B-1B, and B-2 certificates.
- The preliminary ratings reflect our view of the transaction's collateral composition, credit enhancement, and representation and warranty framework, among other factors.
NEW YORK (S&P Global Ratings) Aug. 23, 2024--S&P Global Ratings today assigned its preliminary ratings to A&D Mortgage Trust 2024-NQM4's mortgage-backed certificates (see list).
The note issuance is an RMBS transaction backed by first- and second-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans (some with interest-only periods) to both prime and nonprime borrowers. The loans are primarily secured by single-family residential properties, planned unit developments, condominiums, townhomes, two- to four-family residential properties, condotels, mixed-use properties, manufactured housing, and five- to 10-unit multifamily residences. The pool consists of 1,055 loans, which are qualified mortgage (QM) safe harbor (average prime offer rate), QM rebuttable presumption (average prime offer rate), ability to repay-exempt loans and non-QM/ability to repay-compliant loans.
The preliminary ratings are based on information as of Aug. 23, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of:
- The pool's collateral composition and geographic concentration;
- The transaction's credit enhancement, associated structural mechanics, and representation and warranty framework;
- The mortgage originator, A&D Mortgage LLC;
- The 100% due diligence results consistent with represented loan characteristics; and
- The potential impact current and near-term macroeconomic conditions may have on the performance of the mortgage borrowers in the pool. Per our latest update ("A Cooling U.S. Labor Market Sets Up A September Start For Rate Cuts," published Aug. 6, 2024) to our third-quarter macroeconomic outlook ("Economic Outlook U.S. Q3 2024: Milder Growth Ahead," published June 24, 2024), we have recalibrated our views on the trajectory of interest rates in the U.S. We now expect 50 basis points (bps) of rate cuts coming this year and another 100 bps of cuts coming next year, with the balance of risks tilting toward more of those cuts happening sooner rather than later. Our base-case forecast for GDP growth and inflation have not changed, and we attribute the recent loosening of the labor market to normalization, not to an economy that's about to slip into a recession. A soft landing remains the most likely scenario, at least into 2025. We therefore maintain our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency of 2.50%, which reflects our benign view of the mortgage and housing market as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting.
Related Criteria
- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10, 2021
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation And Special-Purpose Entity Criteria, May 15, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Criteria | Structured Finance | RMBS: Assumptions Supplement For Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018
- Criteria | Structured Finance | RMBS: U.S. Residential Mortgage Operational Assessment Ranking Criteria, Feb. 22, 2018
- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018
- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- General Criteria: Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct. 1, 2012
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- Presale: A&D Mortgage Trust 2024-NQM4, Aug. 23, 2024
- Economic Research: A Cooling U.S. Labor Market Sets Up A September Start For Rate Cuts, Aug. 6, 2024
- AcceptAllChangesInDocAndStopTracking Economic Outlook U.S. Q3 2024: Milder Growth Ahead, June 24, 2024
- S&P Global Ratings Publishes List Of Third-Party Due Diligence Firms Reviewed For U.S. RMBS As Of May 30, 2024, May 30, 2024
- Select Servicer List, May 17, 2024
- U.S. Home Price Overvaluation Softens As Wage Growth Outpaces Home Price Gains, April 15, 2024
- 2024 U.S. Residential Mortgage And Housing Outlook: A Rate And Supply Story, Jan. 17, 2024
- Residential Mortgage Performance: 'Like A Rock' And 'Still The Same', Nov. 3, 2023
- S&P Global Ratings Definitions, June 9, 2023
- U.S. RMBS: A Closer Look At DSCR Loans, April 6, 2023
- Non-QM RMBS: Navigating Rising Rates, June 9, 2022
- ESG Industry Report Card: Residential Mortgage-Backed Securities, March 31, 2021
- Servicer Evaluation: Nationstar Mortgage LLC, Dec. 22, 2020
- U.S. Residential Mortgage Input File Format For LEVELS, March 6, 2020
- Investor Property DSCR Loans: The Nonqualified Mortgage Exempt From Qualified Mortgage Rules, Aug. 27, 2019
- Credit Rating Model: LEVELS Model For U.S. Residential Mortgage Loans, Aug. 5, 2019
- Key Factors For Assessing U.S. Non-Qualified Mortgage Bank Statement Loans, April 10, 2019
- Credit Rating Model: Intex RMBS Cash Flow Model, April 7, 2017
Preliminary Ratings Assigned(i)
A&D Mortgage Trust 2024-NQM4
- Class A-1A, $183,715,000: AAA (sf)
- Class A-1B, $36,927,000: AAA (sf)
- Class A-1, $220,642,000: AAA (sf)
- Class A-2, $38,405,000: AA- (sf)
- Class A-3, $50,591,000: A- (sf)
- Class M-1, $22,157,000: BBB- (sf)
- Class B-1A, $10,155,000: BB (sf)
- Class B-1B, $7,016,000: BB- (sf)
- Class B-2, $12,555,000: B- (sf)
- Class B-3, $7,755,633: Not rated
- Class A-IO-S, notional(ii): Not rated
- Class X, notional(ii): Not rated
- Class R, not applicable: Not rated
(i)The preliminary ratings address the ultimate payment of interest and principal. (ii)The notional amount will equal the aggregate stated principal balance of the mortgage loans as of the first day of the related due period and is initially $369,276,633.
European Endorsement Status
Global-scale credit rating(s) issued by S&P Global Ratings' affiliates based in the following jurisdictions [To read more, visit Endorsement of Credit Ratings] have been endorsed into the EU and/or the UK in accordance with the relevant CRA regulations. Note: Endorsements for U.S. Public Finance global-scale credit ratings are done per request. To review the endorsement status by credit rating, visit the spglobal.com/ratings website and search for the rated entity.
'sf' Identifier
The 'sf' identifier is assigned to ratings on structured finance or securitization instruments when required to comply with an applicable law or regulatory requirement or when S&P Global Ratings believes it appropriate. The addition of the 'sf' identifier to a rating does not change that rating's definition or our opinion about the issue's creditworthiness. For detailed information on the instruments assigned the 'sf' identifier, please see the appendix to "S&P Global Ratings Definitions" for the types of instruments that carry the 'sf' identifier. To see if a credit rating has a 'sf' identifier, visit the standardandpoors.com website and search for the rated entity.
Primary Credit Analyst: | Zhan Zhai, New York (1) 212-438-1970; zhan.zhai@spglobal.com |
Secondary Contacts: | Adam J Odland, Englewood + 1 (303) 721 4664; adam.odland@spglobal.com |
Kimball Ng, New York +1 212-438-2250; kimball.ng@spglobal.com | |
Angha Gupta, Toronto + 1 (647) 480 3545; angha.gupta@spglobal.com | |
Surveillance Credit Analyst: | Truc T Bui, San Francisco + 1 (415) 371 5065; truc.bui@spglobal.com |
Analytical Manager: | Vanessa Purwin, New York + 1 (212) 438 0455; vanessa.purwin@spglobal.com |
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