Blue River Mortgage III, a fund managed by TPG Angelo Gordon, is preparing to sponsor a $250 million residential mortgage-backed securities (RMBS) deal secured by mortgages on investor properties, primarily, the GCAT 2025-INV3 Trust.
In aggregate 974 fixed-rate mortgages entire collateral pool, and investment properties account for 71.6% of them, according to Kroll Bond Rating Agency. Mortgages on second homes account for 28.4% of the collateral pool.
The entire pool was originated using agency underwriting, according to KBRA, with PennyMac being the largest originator, and accounting for 66.1% of the mortgage loans. Also, all the underlying loans were current as of the August 1 cutoff date, KBRA said.
In terms of the collateral's qualified mortgage designations, 69.2% of the loans fall into the ability to repay group of loans.
On average, the loans have a balance of $356,271, with weighted average (WA) original terms of 360 months, and a WA coupon of 6.9%. Borrowers have prime quality characteristics, according to KBRA, with a FICO score of 776 on a WA basis. The loans have an original loan-to-value ratio of 75%, and a WA debt-to-income (DTI) ratio of 33.8%.
Borrowers have $317,745 in non-zero WA annual income, with liquid reserves of $278,946. It is also a concentrated portfolio, geographically, with the top three states accounting for 31.9% of the portfolio.
The deal is slated to close on August 27, with notes having a final maturity date of September 2055, according to KBRA. The super senior notes receive AAA ratings, and the senior and senior support notes are rated AA+. After that, the B1, B2, B3, B4 and B5 notes received ratings of AA, A, BBB+ BB+ and B+, respectively.
According to Asset Securitization Report's deal database, expected coupons on the notes included:
• 0.5% on the AX25 notes, rated AA+
• 5.5% on the A16 notes, rated AAA and
• 6.7% on all the class B notes, with Baa3, Ba3 and B3 on tranches B3, B4 and B5, respectively.
