ABS

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.

“This puts the performance of inflation solidly back into the limelight” with the “risk that higher prices with the backdrop of heightened geopolitical uncertainty will ultimately be stagflationary.”

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.