The PRMI Securitization Trust 2022-CMG1 is preparing to issue mortgage backed notes secured by a portfolio of 669 newly originated, seasoned and performing line of credit loans (LOC) will secure about $281.8 million in mortgage-backed notes, according to Fitch Ratings.
PRMI Capital Markets, an affiliate of the leveraged debt fund PR Mortgage Investment, is sponsoring the deal, which is expected to close out just before the end of the year. In all, the underlying LOC loans have a total unpaid principal balance of $281.8 million, and a total credit limit of $368.3 million, according to a pre-sale report from Morningstar | DBRS. As for seasoning, the loans have an average of 25 months on them, and virtually all of the loans, 98.0% of the pool, actually, have been performing since origination.
CMG Mortgage, a subsidiary of CMG Financial Services, originated all of the loans in the pool, according to DBRS. As for the deal's capital structure, the senior notes will be repaid on a pro rata basis, while the rest of the deal follows a subordinate sequential repayment pattern, and this subordination provides the deal's main credit enhancement, according to DBRS.
Fitch notes that the notes have a legal final maturity date of August 2052.
Spreads have not been determined yet, but the notes are benchmarked on the Secured Overnight Financing Rate (SOFR). It was not clear at press time what spreads could be expected on the notes, particularly in the current rate environment. ASR's deal database noted, however, that the previous recorded transaction from this issuer, the PRMI 2021-1, floated fixed-rate notes with coupon rates ranging from 0.25% through 2.35%. Also, Nomura Securities International managed that transaction.
DBRS noted several ways in which the features in PRMI 2022-CMG1's underlying loans differ from other LOCs. The term, interest-only period and draw period all appear to be on the longer end compared with other LOCs. For instance, LOCs in PRMI 2022-CMG1 have terms of about 30 years, compared with 20 to 30 years in other LOC. Also, other LOCs have varying maximum original cumulative loan-to-value ratios, while the underlying loans in this deal have LTV ceilings of 80% without mortgage insurance or up to 90% with mortgage insurance, according to DBRS.
Borrower characteristics also stayed in a tighter band compared to other LOC loans. They have a weighted average (WA) FICO score of 762, a maximum debt-to-income ration of 43%, and are taking out loans with an average balance of $550,584, according to DBRS.
Both DBRS and Fitch rating agency expects to assign 'AAA' to 'A' ratings on the senior, pro rata notes; 'BBB' on the mezzanine notes that will pay sequentially; and 'BB' and 'B' on the subordinate notes.
