Finance

D.E. Shaw is purchasing credit-linked notes sold by banks that transfer the risk to the buyer in exchange for a coupon payment, while keeping the assets on the lender's balance sheet.

The collateral pool has 2,701 loans, which have a WA original term of 91 months, and an average balance of $76,737, and an average rate of 17.26%.

The collateral pool has some 2,950 assessments. They have a WA original term of 26.39 years, an assessment loan-to-value ratio of 6.26%, and a mortgage LTV of 44.50%.

The changes made to the schedule of bringing advanced credit metrics to major mortgage investors Fannie Mae and Freddie Mac affect bi-merged reports and Vantagescore 4.0's implementation.

Initial overcollateralization is 11.3%, up from 8.50% of the initial collateral pool balance. Aside from that adjustment, target overcollateralization is 22.45%, compared to 13.00% on Westlake 2023-4 deal.

The mortgages have an average balance of $70,312, and an average coupon, on a weighted average (WA) basis, of 10.06%. Also on a WA basis, the borrowers have an original credit score of 739.

A rate drop was a common concern for some servicers during the quarter, and Ocwen recently took a step aimed at better addressing this risk in the future.

Exposure to synthetic securitizations has more than doubled over the last two years, swelling to C$86.6 billion ($64.2 billion) at the end of the last financial year, from C$40.3 billion in 2022.

The deal will repay investors sequentially and through a shifting interest payment structure, according to ratings analysts from Moody's Investors Service. On a weighted average (WA) basis, the rating agency notes, the mortgages have a FICO score of 773.

Calculating catastrophic risk is more complex than it used to be, because there's a growing concentration of property in areas that are prone to increasingly frequent storms, fires and floods.