Park Capital Management is sponsoring its third securitization of mortgages for the year under the PRKCM platform, with plans to raise $320.8 million from investors.
The collateral pool includes a range of assets, such as non-qualified mortgage (non-QM) and loans exempt from ability-to-repay rules; first- and second-lien mortgages; and fully amortizing. A range of properties provides the collateral, including single-family residential homes, planned-unit developments, condominiums, townhomes and two- to four-family homes, according to the Asset Securitization Report's deal database.
The deal is slated to close on September 13. The manager wasn't specified on this deal, but ATLAS SP Partners managed the program's two previous transactions this year, according to Finsight.
At press time, S&P was the only rating agency that released preliminary ratings on the notes, and for its part it expects to assign 'AAA', 'AA' and 'A' ratings to the A1, A2 and A3 notes, respectively, according to S&P. The mezzanine tranche, M-1, is expected to garner a 'BBB' rating, while the B-1 and B-2 notes get ratings of 'BB' and 'B', respectively.
PRKCM 2023-AFC3 will repay investors through a senior-subordinate waterfall and hybrid pro rata-sequential structure, S&P said. Credit enhancement on the notes ranges from 33.40% on the A-1 notes through 2.85% on the class B-2 notes.
Also, the three A classes will issue fixed-rate notes, while the mezzanine and three subordinate classes will be priced with net weighted average coupon, according to S&P. The previous deal was priced on the three-month interpolated yield curve through out the whole structure, according to the ASR database.
Analysts from S&P Global Ratings observed that PRKCM 2023-AFC3's collateral pool characteristics are weaker than its archetypal prime pool, yet its attributes fall within its expectations for a nonprime portfolio. The 816 mortgages in the pool have an average loan balance of $393,158. On a weighted average (WA) basis the loans have an original cumulative loan-to-value (CLTV) ratio of 67.8%, and a debt-to-income ratio of 37.9%.
Adjustable-rate loans account for some 48.7% of the collateral pool, S&P said. Full documentation underwriting accounted for just 27.1% of the pool, while alternative, bank statement and P&L documentation accounted for 40.1% of the pool. Asset depletion and debt-service coverage ratio underwriting accounted for 32.8% of the pool. Meanwhile, self-employed borrowers made up 41.6% of the pool, while loans to foreign borrowers were 13.1% of the pool, the rating agency said.
