Donna M. Mitchell

Loans with original balances higher than $100,000 accounted for 16.1% of the pool, down from 20.3% in the 2025-2 pool of the Hilton Grand Vacations Trust.

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.

The deal increased its initial credit enhancement levels across the board, with the A-, BBB and BB- notes benefiting from levels of 21.89%, 1.89% and 5.74%, respectively.

Loans originated under Sallie Mae's Smart Option loan program, which have demonstrated significantly lower default rates compared with those from the Signature program, make up the entire collateral pool.

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.

The mortgage's proceeds, with $518 million of cash equity contributed by the sponsor, will also be used to buy Hawaii-based Alexander & Baldwin, a commercial property REIT.

The deal structure includes credit support from a full turbo structure. All excess cash flow will be used to repay note holders without the issuer receiving excess spread until the notes are fully repaid.

For the first time, the FIAOT shelf includes commercial vehicles originated through the SFS's Captive Program, extending vehicle financing to small business owners.

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.

Before the transaction has amortization event, principal payments will enter full turbo during the deal's first 12 months.

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

Classes A through SB will receive principal until the balance is reduced to its intended level, then tranches A1, A4, A5 and A-SB certificates will receive principal payments sequentially.

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.

The deal has a three-month prefunding period, which begins on its expected April 2 closing date, and assets transferred into the pool will be subject to concentration limits.

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.

Slated to close on March 24, the deal is Capteris' second 144A term securitization and has a stressed cumulative net loss rates ranging from 25.14% to 7.75%.

The global team combines industry-leading expertise to offer customized product solutions for clients in structured finance, collateralized loan obligations (CLOs) and alternative investments.

RATE 2026-J1 has a seasoned probability of default of 6.4% and 1.3% on the 'AAA' and 'B' rating stress levels, respectively.