The asset-backed-security (ABS) market should be “largely stable” in 2022, but the prolonged COVID-19 pandemic, coupled with inflation, may hurt segments of the sector, structured finance experts at Fitch Ratings said at a recent conference.

Pagaya AI Debt Trust, 2022-1, or PAID 2022-1, will be Pagaya Structure’s first publicly rated securitization.

And a recent slowdown in government-backed loan issuance is pushing average purchase amounts to another record high.

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.

In a transaction that is expandable, Kapitus Asset Securitization will be able to periodically issue additional notes up to a maximum of $600 million.

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

Office properties account for 60.8% of the pool, above the 41.2% average for 2020 deals, and above the 36.5% average for 2021.

The debt facility from Barings is likely the largest to a Black-owned investor in the market.

The change aims to streamline the processing of certain pandemic-related loan options that accommodate lower monthly payment amounts for borrowers with long-term economic hardships.

The researchers found that the disparities that emerged from the analysis of 1.8 million appraisals from 2019 and 2020 were statistically significant.

The prefunding period ends 90 days after the expected closing date, December 4, at which point the collateral balance could be approximately $366 million.

The collateral of CPSART 2022-A reflects key changes including a decrease in the percentage of called collateral, and a drop in the months of seasoning on the notes.