RMBS

Deterioration in credit quality should put strain on collateral originated in late 2021 and early 2022, affecting performance, Barclays Credit Research said.

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.

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

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.

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

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

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 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.