Using a structure of super-senior and subordinate notes, some of which are exchangeable, the Morgan Stanley Residential Mortgage Loan Trust, 2024-1 is preparing to sell about $328.6 million in prime residential mortgage-backed securities to investors.
Some 358 residential mortgages, with an aggregate principal balance of $328.6 million as of the deal's January 1 cutoff date, will secure the pool, according to ratings analysts from Kroll Bond Rating Agency. Morgan Stanley is the manager on the deal, while Movement Mortgage is the largest originator in the pool, with a 17.6% share, while United Wholesale Mortgage is the next largest, with 11.4%
A small percentage of the collateral pool, 12.7%, is agency eligible, while 87.3% of the loans are non-conforming. Classes A1-A8 have a 15% credit enhancement level, according to KBRA. All super senior and senior support notes received preliminary AAA ratings, according to the rating agency. Analysts are also expected to assign ratings of AA to the B1 notes; A- to the B2 notes; BBB to the B3 notes; BB- to the B4 notes; and B- to the B5 notes.
In many ways the pool exhibits prime characteristics that are in line with other transactions from the MSRM platform. On average, the loans in the pool have an outstanding balance of $917,877, according to KBRA. On a weighted average (WA) basis, the loans have an original FICO score of 772, an original loan-to-value ratio of 73.9%, and an original cumulative LTV of 74.2%. The borrowers themselves have a median income of $332,796, and on a WA basis the pool has a liquid reserve of $469,582, the rating agency said.
A handful of states account for the largest concentrations in the pool, but California remained at the top, as it has on the deals through 2023. In this case it accounts for 29.1% of the pool, with Washington and Florida following, and accounting for 15.8% and 6.9% of the pool. The top three states account for 51.7% of the pool. As for metropolitan areas represented in the pool, Seattle represents the largest, with 13.0%, while San Francisco and Los Angeles account for 8.7% and 6.1%, respectively.
The deal is slated to close on January 31.
