J.P. Morgan Securities

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%.

Spreads ranging from 16-18 basis points over the three-month, interpolated yield curve on the P1 (Moody's) and F1+ (Fitch) notes, to 160 to 170 over the benchmark on the class D notes.

Raising $344 million, the deal securitizes revenues from loans with lower balances and a higher weighted average loan-to-value ratio compared with the previous deal.

FCAOT, in its first issuance of the year, could upsize the deal to $1.5 billion

The deal will repay investors sequentially and through a shifting interest payment structure, according to ratings analysts from Moody's Investors Service. On a weighted average (WA) basis, the rating agency notes, the mortgages have a FICO score of 773.

The underlying leases have an average contract balance of $18,129. The top borrower accounts for 0.8% of the pool balance, while the top 10 borrowers represent 4.2%.

The collateral has a high principal payment rate, 63.1%, for the eleven months ended November 2023. It also had payment rates of 66.7% and 59.0% for the twelve-month averages for 2022 and 2021, respectively.