RMBS

Losses stemming from the 2022 vintage have been offset by excess spread, while cure and roll rates signal caution.

All 244 underlying loans initially had a period of fixed rates between 60 and 120 months at origination and are currently ARMs, although none are interest-only.

Full documentation was completed on just 17.9% of the pool, Fitch said, while bank statements and debt service coverage ratio (DSCR) account for 17.6% and 28.0%, respectively.

Full documentation was only applied to 2.6% of the underlying pool of mortgages. Debt-to-income, however, was 23.3% when it was applied.

Some 90.3% of the loans have had a clean payment history over the past 12 months, with a 1.3% delinquency rate.

Most of the loans, 57.34%, are for cashout purposes and the entire loan pool are first-liens, and are of modest leverage, with an original cumulative loan-to-value (LTV) ratio of 69.74%.

The A1A and A1B tranches, rated 'AAA' from S&P and Kroll Bond Rating Agency, are expected to pay coupons of 5.31%.

The loans were underwritten primarily to full documentation standards, including one to two years of W-2 verification, or two years of personal and business tax returns for self-employed borrowers.

Regardless of whether a trigger is in place, A-1FCF will always receive principal first until that balance is reduced to zero, and then to A-1LCF until it is fully paid off.