J.P. Morgan Securities

The current pool has smaller exposures to the construction and turf sectors compared to the 2024-2 series, which have seen higher loss rates than the agriculture sector.

All the class A notes benefit from total initial hard credit enhancement totaling 21.0% of the pool balance. Classes B, C and D benefit from 17.0%, 11.5% and 6.5%, respectively.

Residential customers made up 70.1% of NYSEG's sales revenue, while commercial and industrial customers account for the other 30% of sales. The latter is a relatively high exposure for such deals.

KBRA notes that commercial obligors with an investment grade rating make up 76% of MassMutual's customer base. Within that group, payments from the U.S. government account for 14.4%, the largest concentration.

Classes A through E, do not allow for payment-in-kind, which allows borrowers to use assets other than cash—such as equity or shares—to make interest payments.

After a double-digit increase, analysts expect sectors to continue to grow in 2025, albeit with some credit deterioration.

One of the subordinate tranches, the BX is exchangeable, while credit enhancement levels on the notes range from 35.70% on the A1 notes to 3.5% on the B3 tranche.

The assets have a weighted average (WA) FICO score of 801, including a minimum FICO of 660. Also on a WA basis, they have an original term of 74 months and a loan-to-value ratio of 86.8%.

Treasury yields surged across the curve on Friday, while traders — as well as economists at JPMorgan Chase & Co. and Citigroup Inc. — pushed out their expectations for the Fed's first rate reduction.

The 2024-5 series are secured by a pool of loans purchasing primary residences, with an original, cumulative LTV of 73.9%, and a debt-to-income ratio of 35.5%.