A pool of prime quality, first-lien residential mortgages, half of which were made to investors for business purposes, will securitize a pool of $329.8 million in mortgage-backed securities (MBS), issued through the Bravo Residential Funding 2023-NQM7.
Loan Funding Structure is sponsoring the deal, which is slated to close on October 31. Citadel Servicing originated the vast majority (80.4%) of the 787 fixed- and adjustable-rate loans backing the collateral pool, according to DBRS Morningstar, which will assign ratings to the notes. The loans have six months of seasoning on average, DBRS said.
Among Bravo Residential 2023-NQM7's credit strengths, the rating agency noted that underwriting standards have improved since before the COVID-19 pandemic, especially as it relates to borrower income, asset and employment verification as well as property appraisal and reserve requirements.
As for underlying borrowers, they have a weighted average (WA) FICO score of 714, while 50.1% of the loans have FICO scores of 720 and higher, DBRS said.
Goldman Sachs is managing the deal, according to the Asset Securitization Report's deal database. Bravo Residential will issue notes through seven tranches, repaying investors through a hybrid senior-subordinate, pro rata and sequential structure, DBRS said.
The rating agency will assign 'AAA', 'AA' and 'A' to classes A1, A2 and A3; 'BBB' to class M1; 'BB' to the B1 class and 'B' to the class B2 notes. Senior class notes benefit from credit enhancement levels of 34.95% on the A1 notes; 25.80% on the A2 notes and 17.05% on the A3 notes.
Nationstar Mortgage is the master servicer on the deal, while ServiceMac is participating as sub-servicer, according to the rating agency.
DBRS says 98.2% of the loans have been performing since origination, while just 1.8% of the pool is 30 to 59 days delinquent in payments. Loans that were underwritten using 12 months of bank statements accounted for 50.4% of the pool balance, according to DBRS, while debt-service coverage ratio (DSCR), which uses a property's cash flow and rental income to qualify borrowers, accounted for 33.9%, while full documentation underwriting accounts for 10.1% of the pool, DBRS said.
