A pool of 548 mortgages will secure $243.6 million in mortgage-backed securities, issued through the BRAVO Residential Funding Trust, series 2024-NQM4.
With Barclays as lead underwriter on the deal, BRAVO Residential will issue the notes through 12 tranches of class A, M and B certificates, as well as SA, FB AIOS and XS tranches, according to Fitch Ratings. All the notes have a stated final maturity date of January 2060, Fitch said. Loan Funding Structure III is the deal sponsor.
In a deal with a mixed credit outlook, Fitch noted that home price values in the pool are 11.3% above a long-term sustainable level. Amid the worst housing affordability condition in decades, home prices have increased 5.5% on a year-over-year basis nationally since February 2024, and that is aside from elevated high rates.
Borrowers have a strong credit profile, with a 731 model FICO score, a 48% debt-to-income (DTI) ratio, and low leverage of 63%, for a sustainable loan-to-value ratio, Fitch said. But the pool has a significant concentration of loans that are non-qualified mortgages (non-QMs), the rating agency also said.
Also, 93.3% of the pool was underwritten to less-than-full documentation. Also, 47.1% of the loans were underwritten to a 12- or 24-month bank statement program verifying income. None of this adheres to what Fitch considers a full documentation program, the company said.
Citadel Servicing and Rushmore are servicers on the deal, accounting for 87.2% and 12.8% of the pool, respectively, Fitch said, and this factor's into the deals low operational risk. Citadel is also the primary originator, accounting for 87.2% of the loans in the pool, and Pacific Investment Management Company (PIMCO) is on the deal as the mortgage acquirer and has sufficient risk controls as it works with third party companies to review loans for purchase, according to Fitch.
Fitch assigns AAA to the A1 notes; AA and A to the A2 and A3 notes; BBB to the M1 notes; and BB and B to the B1 and B2 notes.
