A pool of 540 non-prime mortgages will support $331.9 million in residential mortgage-backed securities (RMBS) from the COLT 2024-5 Mortgage Loan Trust, a deal due to close on September 30.
The deal will issue notes through nine tranches of classes A, M and B notes, all of which have a stated final maturity of September 2069, according to Fitch Ratings. While many aspects of the deal are like the COT 2024-4 deal, the credit profile of its underlying borrowers has improved, Fitch said.
Barclays, Morgan Stanley, Nomura Securities and Santander Investment Securities are managers on the deal, according to Asset Securitization Report's deal database.
While LSRMF3 Acquisition Investments is sponsoring the deal, The Loan Store, Foundation Mortgage Corp., and Northpointe Bank originated most of the loans in the underlying pool, accounting for 46.0%, 13.1% and 8.6%, respectively. Meanwhile, Select Portfolio, Northpointe Bank and Fay Servicing are servicers, the rating agency said.
For instance, COLT 2024-5 has a higher concentration of full documentation loans, 6.1%, compared with 5.1% on the COLT 2024-4 deal. Also 1.0% of the COLT 2024-4 pool had piggyback second mortgages, already a small percentage, but the percentage on the COLT 2024-5 deal is zero. There is also a smaller percentage of investor properties—28.3% compared with 37.5% in the COLT 2024-4 deal, the rating agency said.
With net weighted average coupon (NWAC) of 7.7%, there is about 208 basis points of weighted average (WA) excess spread for bonds at issuance, Fitch said.
Yet the transaction has several highlights where analysts raised caution. Lingering tight housing market conditions still hang over the portfolio, according to Fitch Ratings, whose analysts place the home price values of the current pool at 9.8% above a long-term sustainable level. That compares with 11.5% of home price values on a national level. The borrowers have a moderate credit profile, with a FICO score of 745.8, and a stated loan-to-value (LTV) ratio of 84.4%, and cumulative LTV of 76.0%, Fitch said.
Fitch assigns AAA to the A1; AA to the A2 notes; A to the A3 tranche; BBB to the M1; BB to the B1 notes; and B to the B2 tranche.
