Morgan Stanley Residential Mortgage Loan Trust 2024-INV3 (MSRM 2024-INV3) is issuing 34 classes of mortgage pass-through certificates in the trust's third transaction in
The transaction consists of 896 investment property mortgages with an aggregate principal balance of $296.7 million as of the June 1, 2024 cut-off date. Approximately 99% of the subject pool are agency-eligible while the remaining 1% are non-conforming, according to Kroll Bond Rating Agency.
The mortgages were aggregated by Morgan Stanley from CrossCountry Mortgage (36% by balance); PennyMac Loan Services and PennyMac Corp. (collectively, PennyMac, 26.9% by balance); Movement Mortgage (14.6% by balance); and other originators constituting under 10% of the loans by balance. The loans will be serviced by NewRez d/b/a Shellpoint Mortgage Servicing, and PennyMac, with Nationstar Mortgage acting as master servicer.
KBRA says that MSRM 2024-INV3 comprises high-quality mortgage loans to prime credit borrowers with a weighted average original credit score of 766 and a WA debt-to-income (DTI) ratio of 36.8%. There is notable borrower equity in the properties collateralizing these mortgages, which is reflected in the WA original loan-to-value ratio of 71.7%, it says. The level of equity provides a substantial margin of safety against potential home price declines, while the pool's FICO scores, DTI ratios and income generally display strong borrower credit quality.
Moody's Ratings says that self-employed borrowers comprise around 32.3% of the loans by balance, but have a higher WA FICO (765), lower WA LTV (71.5%), and lower DTI (34.8%) than the rest of the pool. The variable nature of self-employed income generally presents a greater risk than the fixed income typically derived from salaried employment, it notes.
Of the loans by balance, 22.9% were originated in California and Florida, which include metropolitan statistical areas Riverside-San Bernardino-Ontario (2.6%) and Los Angeles-Long Beach-Anaheim (2.3%). High geographic concentration exposes a portfolio to the risk of higher and more correlated losses if economic conditions or other factors affecting the specific regions deteriorate significantly, Moody's says.
Moody's expected loss for the pool in a baseline scenario-mean is 1.20%, in a baseline scenario-median 0.82%, and 9.57% at a stress level consistent with Moody's AAA ratings.
Moody's issued a definitive AAA rating to the A-1 through A-9 notes, while KBRA assigned an AAA rating to the A-1 through A-12 notes.
Moody's assigned an AA1 rating to the A-10 through A-12 notes, AA3 to the B-1 notes, A3 to the B-2 notes, BAA3 to the B-3 notes, BA3 to the B-4 notes, and B3 to the B-5 notes.
KBRA issued an AA- rating to the B-1 notes, A- to the B2 notes, BBB to the B-3 notes, BB+ to the B-4 notes, and B+ to the B-5 notes.
