A diverse mix of residential properties will secure a $370.7 million residential mortgage-backed securities (RMBS) transaction, with notes issued to bondholders through the Deephaven Residential Mortgage Trust 2002-1.
Goldman Sachs, Barclays Capital and Credit Suisse Securities are the transaction’s initial note purchasers on the transaction, known as DRMT 2022-1, according to a presale report from S&P Global Ratings. RCF II Loan Acquisition is the deal’s sponsor and advance reimbursement party.
Several originators will contribute loans to the collateral pool, including ACC Mortgage, which accounts for 27% and Deephaven Mortgage, which contributes 22.6%. Other originators contribute, in total, 50.3%. Each of them comprises less than 10% of the collateral pool, according to S&P.
S&P expects to assign ratings to the notes ranging from ‘AAA’ on the class A-1, $262.5 million note to ‘B-’ on the $16.1 million B-2 class.
The collateral pool on the deal, consisting of about 752 loans, slated to close on January 28, is fairly diverse. First liens on single-family homes, including townhomes make up the majority of the portfolio, at 59.5%. Other residential property types include planned-unit developments (24.1%), two- to four-family (9.3%) and condominiums (7.0%). While diverse, the properties do have one commonality: primary residences make up about 65.2% of the collateral pool by balance.
S&P did note a couple of potential vulnerabilities to the notes. The collateral characteristics of DRMT 2022-1 are slightly weaker than previous deals, because the collateral has a higher proportion of loans underwritten to alternative income documentation, and a higher proportion of cash-out refinance loans.
Loans underwritten on a full documentation standard account for 13.5% of the pool, while alternative or bank statement documentation accounts for 56.9%, according to S&P. Cash-out refinancing accounts for 32.8% of the pool.
On average, the loans have a balance of $493,039, and a cumulative loan-to-value ratio of 73.8%, in a weighted average (WA) basis. The loans’ FICO score, on a WA basis is 729.
Also on a WA basis, the loans have:
• a current rate of 4.9%
• an original term of 375 months
• three months of seasoning and
• a 32.6% debt-to-income ratio.
