Park Capital is preparing to sell $380.8 million in residential mortgage-backed securities (RMBS), through the PRKCM 2026-AFC3 transaction, in a deal slated to close on May 5.
The transaction's pool characteristics are similar to several previous ones that Park Capital has sponsored since last December, including the closing pool balance, credit rating, leverage and underwriting method, according to analysts at Kroll Bond Rating Agency and S&P Global Ratings.
PRKCM 2026-AFC3 will repay noteholders through a combination of pro rata on the senior notes, and sequentially on the subordinate notes, KBRA said. There are five tranches among the class A notes, including a first cash flow (A-1FCF) and a last cash flow (A-1LCF), according to the rating agency.
S&P notes that the A-1FCF and A-1LCF have the same credit enhancement levels, but the timing for when they receive principal varies. Irrespective of the transaction's trigger status, PRKCM 2026-AFC3 will pay the A-1FCF first, until its balance is reduced to zero, and then to the A-1LCF until it is paid down, S&P said.
The deal is expected to pay coupons including 5.44% on the A-1FCF piece, 5.42% on the A-1LCF tranche, and 5.43% to A-1A and A-1B holders, according to KBRA.
Other coupons include 5.63% and 5.78% on the A2 and A3 tranches, respectfully, KBRA said.
Mizuho Securities is managing the deal, according to Asset Securitization Report's deal database, and ATLAS SP Securities, J.P. Morgan Securities, Cantor Fitzgerald, Piper Sandler and Scotia Capital are the initial note purchasers, KBRA said.
Credit enhancement levels include 22.00% on all the A1 tranches, except the A-1A tranche, which benefits from credit enhancement of 32.00%, respectively.
Other credit enhancement levels include 14.60% and 8.30%, on the A2 and A3 tranches, respectively. Other credit enhancement levels range from 4.25% through 1.00% on the M1 through the B2 tranches.
The 976 loans in the pool, primarily first lien, have an average balance of $390,243, with balances ranging from $66,358 to as high as $4.1 million. They have a weighted average coupon (WAC) of 6.61%. Only 2.5% of the loans have an interest-only period, KBRA said.
A slight majority of the loans, 50.56%, are property focused investor loans, S&P said. Of that segment of loans, 66 of them, or 8.56%, are investor loans underwritten to the borrower's income, assets or employment.
The rest were underwritten using a debt service coverage ratio (DSCR), S&P said.
S&P assigned ratings of AAA to the A1 tranches; AA and A+ to the A2 and A3 tranches, respectively. It also applied BBB, BB- and B, to classes M1, B1 and B2, respectively.
KBRA assigned ratings of AAA to the A1 tranches; AA and A to the A2 and A3 notes, respectively; BBB, BB- and B- to the M1, B1 and B2 notes, respectively.
