MBS

MFA has a step-up coupon for the senior classes, where after four years they pay the lesser of a 100 basis-point increase to the fixed coupon, or the net WA coupon rate.

The program will market more fixed-rate tranches to investors, changing course from PRKCM's previous sale which offered notes all pegged to the three-month I-Curve.

The new business will take in money from insurance companies and invest in mortgages and in private structured credit. It will look to draw business from an insurance industry that's "looking to diversify.

While the collateral pool consists of a mix of fixed- and adjustable-rate mortgages, CHNGE Mortgage 2023-4's notes are priced to the three-month interpolated curve.

After a challenging 2022, fund flows reverted to positive territory in 2023 even though higher interest rates and wider spreads have considerably reduced the supply of securitized product.

GCAT 2023-INV1 will issue notes from a structure of super-senior through subordinate notes, which will also feature initial exchangeable notes, and an excess servicing class.

The A-1, A-2 and A-3 notes will benefit from credit enhancement levels of 38.6%, 30.1% and 19.3%, respectively. The mezzanine class benefits from 13.3%.

The deal's higher subordination floor structure conveys protection to the senior classes from losses during the life of the deal, but also presents so-called tail risk to the subordinate classes.

Consumer ABS adapts to an environment where total U.S. household debt reaches a record high of $17.06 trillion, while observers say credit performances could reach pre-pandemic levels by 2024.

A vast majority of the pool, 92.02%, was underwritten to the properties' actual or estimated rental incomes, and not the mortgagors' incomes.