Park Funding II is sponsoring $514.5 million in mortgage-backed securities, from a pool of 1,330 non-prime residential mortgages, which are primarily underwritten with moderate original combined loan-to-value (CLTV) ratios and non-traditional income documentation.
Deephaven Residential Mortgage Trust, 2024-1, will offer notes through nine tranches of class A, M, and B notes, according to analysts at the Kroll Bond Rating Agency. The underlying assets have an original weighted average CLTV ratio of 70.4%. Assets with original CLTV ratios exceeding 80% only represent 26.1% of the pool's outstanding balance, analysts said.
DRMT 2024-1 repays noteholders through a hybrid pro-rata and senior-subordinate structure. The class A notes repay principal to noteholders on a pro rata basis, while shutting the mezzanine and subordinate notes out from any principal payments until the A notes are fully repaid. That leaves the mezzanine and class B notes to be repaid sequentially.
The notes benefit from excess cashflow, KBRA said.
The collateral pool is composed entirely of first-lien loans. Assets underwritten through tradition documentation only account or 8.2% of the pool's outstanding balance, while underwriting through alternative documentation accounts for 51.7% of the outstanding balance. Otherwise, debt service coverage ratio underwriting accounts for 38.8% of the pool, and asset underwriting accounts for 1.4%.
The notes benefit from credit enhancement levels of 44.9% on the A1A notes; 34.9% on the A1B and A1 notes; 26.9% on the A2 notes; 14.7% on the A3 notes; 9.75% on the M1 notes; 5.25% on the B1 notes and 2.75% on the B2 notes, KBRA said.
Various mortgage originators contributed home loans to the collateral pool. Among the 144 originators in the pool, Deephaven Mortgage holds the largest percentage by far, with 33.1%. On average, the loans have a balance of $386,902 and Selene Finance will service all the loan assets, according to KBRA.
KBRA assigns AAA to the A1A through A1 notes; AA+ to the A2 notes; A+ to the A3 notes; BBB+ to the M1 notes; BB+ to the B1 notes and BB- to the B2 notes. Asset Securitization Report's deal database found that S&P Global Ratings assigned ratings ranging from AAA on the A1 notes to B+ on the B2 tranche.
