Barclays

Home equity investment (HEI) agreements homeowners receive upfront cash payments in exchange for giving an investor a stake in the property and the right to collect returns.

The notes benefit from several credit boosters. At closing credit enhancement to the class A notes will be 21.70% of the initial pool balance, plus the pre-funding amount, and could build to 24.30% or greater.

Just one class of variable funding notes (VFN), which have an anticipated repayment date of July 2026, will be issued to investors.

Credit enhancement to the class A notes includes a non-declining overcollateralization of 4.75% of the initial adjusted pool balance, and a non-declining reserve fund of 0.25% of the initial adjusted pool balance.

Backed by revenue from point-of-sale unsecured consumer loans, the upsized deal also features expandable notes.

Yields on longer-dated debt are so high that even if the Fed continues hiking for longer investors still feel they'll be compensated.

MFA has a step-up coupon for the senior classes, where after four years they pay the lesser of a 100 basis-point increase to the fixed coupon, or the net WA coupon rate.

Par subordination on the 'AAA'-rated notes was 39.95%, while par subordination on the 'BBB' notes are expected to be 14.36%.

While the collateral pool consists of a mix of fixed- and adjustable-rate mortgages, CHNGE Mortgage 2023-4's notes are priced to the three-month interpolated curve.

The A-1, A-2 and A-3 notes will benefit from credit enhancement levels of 38.6%, 30.1% and 19.3%, respectively. The mezzanine class benefits from 13.3%.