MBS

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.

Non-QM assets overlap almost perfectly with the portion of loans, 52%, financing properties where the borrower intends to maintain as a primary residence.

The bank’s approval rate for Black applicants was the lowest among major lenders, the Bloomberg analysis of federal mortgage data found.

This is the third publicly rated, non-agency securitization to price in more than a decade. The collateral is FHA seasoned, non-performing and re-performing.

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.

About 58.1% of the loans are in California, while two California cities -- Los Angeles and San Diego -- make up the pool’s largest MSA concentrations.

If the minimum CE test or the delinquency test is not satisfied, then 100% of the scheduled and unscheduled principal will be allocated to the senior tranche.

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 addition to being almost entirely composed of investment-purpose mortgages, about 100% of the pool’s 2,175 mortgages are agency eligible.

The Morgan Mortgage Trust platform has had a SOFR tranche on every previous 2021 deal, generally pricing with a spread of about 95 basis points over SOFR.