RMBS

Alternative documentation accounts for 37.9% of the pool balance, compared with 24.6% on the 2024-NQM4 deal.

The deal mitigates mortgage-pool risk with CLO credit strengths

Unlike some recent RMBS deals, both exclude riskier interest-only loans and those supporting investment properties.

Top banks are underwriting the deal, but most of the securitization's loans lack documentation.

Underwriting methods have been steadily shifting to traditional full documentation, which accounts for 13.3% in the VERUS 2024-9, KBRA said, its largest share since VERUS 2024-6.

The notes benefit from credit enhancement levels of 30.45%, 24.3%, 13.8%, 8.65%, 5.00% and 2.05% on the A1, A2, A3, M1, B1, B2 and B3 tranches, respectively.

The deal will repay investors on a hyrid pro rata, sequential basis. Credit enhancement ranges from 51.7% on the class A1A notes to the 2.25% on the class B2 notes.

Underlying borrowers have accumulated significant amount of home equity in their homes, to a weighted average (WA) original cumulative loan-to-value (CLTV) ratio of 69.5%.

Pricing talk includes yields ranging from 4.9% on the AAA, class A1 notes; 5.7% on the AA, class A2 notes; and 6.2% on the AA M1 notes.

Yields are expected to range from 5.75% on the A1A notes to 6.55% on the M1, all priced on the three-month, interpolated yield curve.