A pool of 677 loans will secure $290.4 million in mortgage pass-through certificates, to be sold to investors from EFMT 2024-NQM1.
The transaction will sell the certificates to investors through 11 tranches of class A, M and B notes, as well as an IO, X and R class. The classes A1, A2 and A3 are fixed rate, with a step-up coupon at year four and capped at the net weighted average coupon (WAC), according to Fitch Ratings. Classes M1 and B1A are also fixed-rate and are capped at the net WAC. The interest rate on the B-1B class will be determined at pricing and will be either fixed or a fixed rate capped at the net WAC or the net WAC rate, Fitch analysts said.
Barclays is structuring lead on the transaction, according to Kroll Bond Rating Agency.
The notes have credit enhancement rates that range from 32.5% on the A1 notes to 1.5% on the B2 notes, Fitch said.
Fitch also noted that the loan pool consists primarily of 30- to 40-year fully amortizing loans, accounting for 88.5% of the pool balance; 40-year fully amortizing loans with a 10-year IO period, representing 5.4% of the pool balance and 30-year, fully amortizing adjustable-rate mortgages, accounting for 0.75% of the pool.
Fitch also notes that on a WA basis, the underlying assets' borrowers have relatively strong credit profiles with a 723 FICO score. The loans also have a 41.9% debt-to-income ratio, and an original combined loan-to-value ratio (CLTV) of 70.8%.
Most of the pool, 65%, are designated as non-qualified mortgages, while the remaining 34.4% are investment properties not subject to ability to repay (ATR) rules. A slight majority of borrowers in the pool, 54.2%, consists of loans where the borrower maintains a primary residence.
Fitch assigns AAA to the A1 notes; AA to the A2 notes; A to the A3 notes; and BBB- to the M1 notes. KBRA assigns AAA to the A1 notes; AA+ to the A2 notes; A+ to the A3 notes; and BBB+, BBB-, BB and B+ to the M1, B1A, B1B and B2 notes, respectively.
