The percentage of larger loans in HGVT-2 is 20.08%, S&P said. While that is lower than the 23.2% seen in the previous deal, it is still too high.

The entire pool was originated using agency underwriting, with PennyMac being the largest originator, and accounting for 66.1% of the mortgage loans.

A credit analyst manually reviews the pool's underwriting decisions, instead of just leaving it all to automation.

The deal faces a few upfront credit challenges, including the fact that the collateral's credit quality has weakened.

Certain provisions in the deal allow for changes in the collateral pool, including allowing for discretionary substitutions of up to 2.0% of the number of properties.

There is a liquidity reserve account that will be fully funded to its required amount when the deal closes.

After passing the Federal Reserve's stress tests with high marks, large banks announced dividend increases. In some cases, they also said the Fed had conceded that certain prior calculations needed to be revised.

In 2021, banks pledged to wind down their support for oil and gas. Last year they made a $162 billion U-turn, according to a new report from a coalition of advocacy groups.

The deal is secured by a portfolio dominated by mortgage loans considered non-qualified or exempt from ability to repay rules.

DBRS noted that about 90.5% of the 4,011 loans receive payment through Automated Clearing House, which boosts payment capture rates and minimizes cash handling.