Blue River Mortgage, a fund from global asset management firm Angelo, Gordon & Co., is sponsoring a securitization of 952 fixed-rate mortgages, almost all of which finance investment properties.
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, according to a pre-sale report from Kroll Bond Rating Agency. Issuing fixed-rate notes, the deal is slated to close this week, according to a KBRA, as well as the Asset Securitization Report's deal database.
Moody's Investors Service and KBRA are expected to assign ratings to the notes, according to ASR. Both rating agencies expect to assign ratings of 'Aaa' and 'AAA' to the A-1 through A-12 classes of notes, respectively. Senior sequential and support notes have a coupon of 5.50%, while senior notional notes are expected to have a coupon of 0.50%, according to KBRA. Otherwise, notional and subordinate class B notes offer coupons that range from 0.40% to 6.40%.
The super senior notes benefit from 15.0% in credit enhancement in the A-4, A-6 and A-10 notes, and 8.10% on the A-14 notes, according to KBRA.
BofA Securities is the initial purchaser of the notes, while NewRez, PennyMac Loan Services and PennyMac Corp, are all servicers, KBRA said.
As for the collateral pool, the loans on average balance of $334,358 and a weighted average (WA) coupon of 6.60%. Also on a WA basis the underlying loans have an original credit score of 768, an original loan-to-value ratio of 70.4%, and a WA debt-to-income ratio of 34.0%, KBRA said. As for the purpose of the loans, 77.5% of the loans were used to purchase the properties, 17.6% of the loans were used for cash outs, and 4.9% were used for refinancing.
Geographically, the pool appears to be diverse. California accounts for the largest ratio among states, with 18.5% of the pool. Florida, Texas, North Carolina and New Jersey make up the rest of the top five, with 13.0%, 12.0%, 5.5% and 4.6% of the pool.
The lowest of the class A notes, the A-X-14, are rated 'AA+'; the B-1-A and B-X-1 notes are rates 'AA-' and the B-2-A and B-X-2 notes are rated 'A'. The rest of the rated subordinate notes are rated 'BBB+' through 'B+', according to KBRA.
As for Moody's, the A-X-14 and A-X-16, are rated 'Aa1'; the B-1-A, B-1 and B-X-1 notes are rated 'Aa3' and the B-2-A, B-2 and B-X-2 notes are rated 'A2'. The rest of the rated subordinate notes are rated 'Baa2' through 'B2'.
