A pool of first-lien, fixed- or adjustable-rate eligible mortgages, will provide collateral for $500 million in residential mortgage-backed securities (RMBS), sold through the Mello Warehouse Securitization Trust, series 2026-1.
Scheduled to close on April 27, according to Morningstar DBRS and Asset Securitization Report's deal database, MWST 2026-1 is backed by a three-year, revolving warehouse facility, which will fund by issuing six tranches of class A, B, C, D, E and F notes, according to the rating agency.
Loans were originated and underwritten in line with Fannie Mae and Freddie Mac guidelines, or with Ginnie Mae guidelines that apply to securities backed by jumbo loans ineligible for GSE pools because of their loan size, DBRS said.
The class A notes will issue the bulk of the debt, $335 million, according to DBRS. All the notes are benchmarked to the Secured Overnight Financing Rate (SOFR), the rating agency said.
The notes have an expiration date of April 24, 2029, with a final stated maturity date of May 2060, the rating agency said.
Sponsoring the deal is loanDepot.com, which originated the loans, and is also the repo seller, servicer and administrator, according to DBRS. Deutsche Bank is the mortgage loan custodian, the rating agency said.
The notes receive a boost in credit and liquidity support from subordination and a reserve account, according to DBRS.
In terms of credit enhancement levels, the classes A, B, C, D, E and F tranches benefit from levels of 33.00%, 31.90%, 21.40%, 12.05%, and 4.00%, respectively.
The underlying loans in the revolving pool include a FICO score of 720 on a minimum weighted average (WA) basis, and a maximum WA loan-to-value ratio of 85.0%, the rating agency said.
The deal is allowed to include eligible mortgage loans whose required documents have not been delivered to the mortgage loan custodian, Deutsche. Periodically, Clayton Services will perform third-party due diligence checks on a randomly selected sample of mortgage loans that the deal has purchased, DBRS said.
DBRS assigns ratings of AAA, to the class A notes, which are the most senior, then AA, A, BBB, B and B to the classes B, C, D, E and F, respectively.
