A collateral pool of investment residential properties will secure the $423 million, GCAT 2022-INV3 Trust, slated to come to market at the end of the month.
Some 1,259 mortgages underpin the collateral, and are divided into two major pools—BANA bulk acquisition loans and seller bulk acquisition loans—each of which has collateral with somewhat homogeneous credit characteristics, according to Kroll Bond Rating Agency. For instance, in a weighted average (WA) basis the BANA loans had a coupon of 4.4%, while the seller group had a WA coupon of 5.2%.
The mortgages are of prime quality, exhibiting a lot of conventional characteristics. All of the loans are first-lien, conforming and were underwritten using full-documentation standards, according to KBRA.
BofA Securities is the initial note purchaser on the deal. The trust will repay issued notes and provide credit enhancement through a senior-subordinate, shifting interest structure, according to KBRA. The KBRA expects to assign 'AAA' ratings throughout all classes collateralized by groups 1 and 2 mortgages.
Three Group 1 super-senior, sequential notes will pay a coupon of 3.5%, while the corresponding Group 2, also super-senior, sequential notes will pay a coupon of 4.0%.
On an average basis, the loans have a balance of $336,012, and borrowers have a median income of $165,347, WA liquid reserves of $271,145. The rating agency estimates that borrowers have a median monthly free cash flow of $5,611, the rating agency said.
On a WA basis, the loans have an originally loan-to-value of 69.2%, and a WA original FICO score of 768. About 29.4% of the borrowers in the pool are self-employed, according to KBRA.
The loans are fairly concentrated among three major loan originators, which represent 85.4% of the pool balance. loanDepot.com, Home Point Financial Corp., and Arc Home represent the three largest originators, and account for 35.8%, 28.0% and 21.6% of the pool balance, respectively.
California and New York are the states with the largest concentrations of the mortgaged properties, as are their respective metro areas. By state, California has the largest concentration, with 29.8% and 11.6%, respectively. By largest CBSA, New York, N.Y., accounts for 16.5% of the pool, while Los Angeles accounts for 9.6% of the pool, KBRA said.
