Donna M. Mitchell

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

Office properties account for 60.8% of the pool, above the 41.2% average for 2020 deals, and above the 36.5% average for 2021.

In addition to being almost entirely composed of investment-purpose mortgages, about 100% of the pool’s 2,175 mortgages are agency eligible.

The SEC claims Morningstar put investors at a risk when rating $30 billion in CMBS deals from 2015-2016. Morningstar defends its integrity and independence.

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.

ABS experts discussed new avenues for growth, and hindrances to innovation at the IMN ABS East conference in Miami.

Key retail vacancies, a drop in office occupancies, plus a combination of lower oil prices, a housing market oversupply — worsened by the coronavirus pandemic — caused loan-level performance issues.

The Morgan Mortgage Trust platform has had a SOFR tranche on every previous 2021 deal, generally pricing with a spread of about 95 basis points over SOFR.

Under Home Partners Holdings’ right to purchase (RTP) program, RTP prices exceed purchase valuations by about $33.2 million, and on 817 properties.

The AOMT 2021-8 waterfall will distribute principal to A-1 through A-3 certificates at all times, and notes are taking a Fitch haircut amid inflated home values.

Founded in the wake of the global financial crisis, KBRA has issued more than 51,000 ratings representing almost $3 trillion in rated issuance since 2010.

Credit enhancement includes subordination, shored up by excess spread generated from excess spread between the cash flow on the collateral and the certificates.

Velocity Commercial Capital, 2021-4 uses subordination and excess spread that will cover both current and cumulative realized losses.

The pool includes a high concentration of loans originated through alternative underwriting, and on investment properties. Just 10.3% of the pool received COVID forbearance.

All of the loans are non-prime loans, and this is the first transaction that BREDS will sponsor using the BINOM shelf.

The entire collateral pool is made up of conforming, high-balance mortgage loans underwritten using an automated system designated by Fannie Mae or Freddie Mac.

The collateral pools consists of 578 loans, and the trust uses a senior-subordinate, shifting-interest structure that helps maintain a longer subordination period.

The deal also provides a sequential principal distribution to all of the certificates at all times, unlike recent non-prime securitizations.

Benchmark will issue 21 classes of certificates, with 13 entitled to principal and interest payments. Six classes will receive interest only.

The enormous issuance is backed by a single loan secured by first-priority mortgages on a pool of about 6,148 single-family rental homes, and 299 townhouses.