RMBS

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.

KBRA says there is notable borrower equity in the properties collateralizing the mortgages, which is reflected in the weighted average original loan-to-value ratio of 71.7%.

Freddie's plan "has merit," but if also used by Fannie, it might create competition for many closed-end, second liens in PL RMBS, according to new research.

The nonpayment rate for non-qualified mortgages is up 21 basis points from February and 134 basis points from March 2023, Morningstar DBRS said.

The momentum created in the fourth quarter is continuing during the first months of this year and is likely to continue throughout 2024, according to Dv01's Vadim Verkhoglyad.

More than 55% of all purchase loans included in agency and government transactions were given to people who had not previously owned their residence, Intercontinental Exchange said.

Among the options is a synthetic risk transfer backed by a portfolio of about $5 billion of home loans originated when interest rates were lower.

Flat growth is expected for mortgages and auto loans, while credit card loan growth will slow down.

The coupons on the class A notes steps up after four years by 100 basis points, but the coupons are subject to a net weighted average coupon (WAC) cap.

Meanwhile, issuance in the far smaller private-label residential mortgage-backed securities market has shown relative strength so far this year, as forecast.

The sponsor sourced the mortgage collateral from a range of originators, but none of them accounts for more than 10% of the pool balance.

The A1 tranche of $172 million (66.8%) is rated as AAA by Fitch and KBRA.

All of the loans were originated by CrossCountry Mortgage, which previously had a relationship for this product with Starwood.

High interest rates and constrained inventory will take its toll on originations and securitization activity in 2024, the rating agency commented.

The market appears strongly divided, as commercial real estate presents investors with stark choices and big risk-management decisions, often differing by region and by sub-sector.