Park Capital Management is preparing to securitize income from a pool of primarily first-lien, expanded prime and nonprime mortgages, to raise $353.6 million in residential mortgage-backed securities (RMBS) through the PRKCM 2025-AFC1 Trust.
PRKCM 2025-AFC1 Trust will sell the RMBS through about eight tranches of notes, classes A, M and B, according to rating agencies Fitch Ratings and Morningstar | DBRS.
The class A1 notes account for most of the balance of the notes, which have a legal final maturity of October 2060, according to DBRS and Fitch. Credit enhancement levels, relative to note balances, range from 35.0% on the A1A notes and 25.0% on the A1B notes to 2.4% and 0.85% on the B1 and B2, respectively.
Interest rates range from 5.37% on the A1A and A1B notes, to 6.35% on the M1 notes, according to Fitch.
Notes will repay investors through a modified-sequential payment structure, the rating agencies said, and cashflow is protected by
AmWest originated the mortgages and services them, and all the loans included in the pool underwent third-party due diligence reviews by three active firms, Fitch said. A vast majority of the pool received an overall 'A' grade, while single-digit percentages got grades of B for credit and compliance. Fitch considers this a positive highlight, in addition to the fact that due diligence results are stronger than those of comparable non-prime RMBS transactions.
California has the largest concentration, geographically, of the 845 mortgaged properties, with 45.6% of the pool by balance, according to Fitch.
The underlying pool has a weighted average (WA) Fitch FICO score of 755, and a mark-to-market combined loan-to-value ratio of 66.6%, Fitch said.
DBRS points out that 38.1% of the loans are made to investors for business purposes and are not subject to qualified mortgage/ability-to-repay rules.
DBRS assigns AAA to all A1 notes, AA to the A2 notes; A to the A3 notes; BBB to the M1 notes; BB to the B1 notes; and B to the B2 notes. Fitch assigns AAA to the A1A and A1B notes; AA to the A2 notes; A to the A3 notes; and BBB to the M1 notes.
