MBS

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.

The sponsor’s strong track record mitigates risks, including “dirty current” loans and low FICO scores.

The enormous issuance is backed by a single loan secured by first-priority mortgages on a pool of about 6,148 single-family rental homes, and 299 townhouses.

The entire pool is comprised of fixed-rate, fully amortizing mortgages, with an average balance of $901,373. They are also first-lien loans.

About 87% of the loans in the pool were underwritten to borrowers with less than full documentation and out of that group, about 63.9% were underwritten to a 12- to 24-month bank statement to verify income.

The GSE comes to market with a pool that is less volatile than average Freddie Mac pass-through deals, plus below-average amortization.

Most of the home loans were originated post-COVID and are on owner-occupied properties.

While the collateral is high quality, analysts raised concerns about a number of key parties that they feel lack robust securitization experience and financial strength.

CIM is secured by home loans making the most of second chances, and borrowers retaining their homes throughout several economic dips.