Atlas A&D Opportunity Fund is preparing to sponsor $369.3 million in residential mortgage-backed securities (RMBS), secured by revenue from a pool of loans that A&D Mortgage or one of its qualified correspondents originated.
A&D Mortgage Trust 2024-NQM4 will sell notes through about 10 tranches of classes A, M and B notes, according to Kroll Bond Rating Agency and S&P Global Ratings. Yields range from 5.33% on the AAA-rated notes to 8.18% on the notes rated BB-/BB+ from S&P and KBRA, respectively, according to Asset Securitization Report's deal database.
All the notes—which are priced virtually at par—are priced against the three-month interpolated yield curve, according to the deal database.
Nomura Securities, and Atlas SP Securities are among the deal's initial purchasers.
The collateral pool consists of fixed- and adjustable-rate fully amortizing loans, which have a range of residential properties as collateral. The 1,055 loans in the pool are primarily non-qualified mortgages and loans that are exempt from ability-to-repay rules, which represent 36.4% and 43.87% of the pool, respectively.
On average, the underlying loans in the collateral pool have a balance of $350,025. On a weighted average (WA) basis, they have a cumulative loan-to-value (LTV) ratio of 70.6%, a FICO score of 738, and a current rate of 8.45%, with an original term of 361.1 months, according to S&P.
Most of the underlying loans in the pool (54.6%) will finance owner-occupied properties, while investors' properties account for 43.9% of the pool. Most (70.7%) are for a home purchase, with cash-out refinancings accounting for 23.4% of the pool, S&P said. A slight majority of the borrowers (54.5%) are self-employed, the rating agency said.
The borrower pool's high credit quality is one of the deal's strengths. The transaction's senior classes A1A, A1B, A2 and A3 benefit from a credit support floor, where the subordinate classes are shut out from any principal payments until the senior classes are retired, S&P said.
KBRA said credit enhancement ranges from 50.25% on the A1A notes to 2.10% on the B2 notes, according to KBRA.
KBRA assigns AAA to the A1 notes; AA+ to the A2 notes and A+ to the A3 notes. Meanwhile, it assigns BBB+ to the M1 notes; BBB- to the B1A notes; BB+ to the B1B notes; and B+ to the class B2 notes. S&P, meanwhile, assigns AAA to all the A1 notes; AA- to the A2 notes and A- to the A3 notes. It also assigned BBB- to the M1 notes; BB to the B1A notes; BB- to the B1B notes; and B2 to the B2 notes.
