Donna M. Mitchell

New Residential, the REIT, boosts credit confidence in the deal as a sponsor and originator experienced with re-performing and seasoned cleanup calls.

Lenders financed the properties through first-lien, fixed-rate mortgage loans, most of which were on 30-year terms extended to prime borrowers, many self-employed.

Only about 1.0% of the mortgage assets in the collateral pool are for the respective borrowers’ personal use, and qualify as mortgages under Regulation Z.

Solar loans with balances of $5,000-$125,000, and Home Efficiency Loans, which have balances ranging from $1,000-$100,000, make up the bulk of the asset pool.

Secured by a single Morgan Stanley first-lien mortgage, the SFR is the largest deal since the program priced its $2 billion transaction in July 2021.

By property type, lodging assets led the way for total delinquencies, with 6.3%, while some 3.5% of the lodging pools were current and specially serviced.

Homes securing the portfolio produce an average monthly rent of $2,405, based on gross potential rent for vacant properties, and an average remaining lease term of eight months.

Securitization would have to see more cycles before the full effect of the COVID-19 pandemic becomes apparent, but loans backing multi-borrower SFRs show more sensitivity to rent collection disruptions.

Non-QM assets overlap almost perfectly with the portion of loans, 52%, financing properties where the borrower intends to maintain as a primary residence.

A majority of the loans, 63.5%, were designated as non-QM loans, and about 36.5% of the loans in the pool are made to investors for business purposes.

Self-employed borrowers accounted for 29.8% of the pool, while loans with co-borrowers and multiple borrowers accounted for 39.9% and 9.8%, respectively.

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.

Athas Capital Group originated the mortgages, which have an average balance of $408,350, and an average weighted average (WA) original term of 362 months.

CDFI-originated loans are not required to comply with the Ability to Repay (ATR) rules, but the mortgages included were generally made to creditworthy borrowers.

About 58.1% of the loans are in California, while two California cities -- Los Angeles and San Diego -- make up the pool’s largest MSA concentrations.

About 3.3% of loans in the deal fall into the 600-649 FICO bucket on the current Sunnova Helios VIII, 2022-A, compared with a 1.2% level in the 2021-C deal.

The sponsor, owned by Blackstone Real Estate Debt Strategies and a majority-owned affiliate of BREDS IV Residential Holdco, will retain a residual interest.

AOMT 2022-1’s waterfall payment structure allows for sequential principal distribution to all of the certificates at all times, including A-1 through A-3.

If the minimum CE test or the delinquency test is not satisfied, then 100% of the scheduled and unscheduled principal will be allocated to the senior tranche.

Performing and re-performing loans are in the pool, as well as fixed, adjustable-rate and step-rate loans, and fully-amortizing balloon and interest-only mortgages.