J.P. Morgan Securities

Most of the pool, 74.6%, was underwritten to less than full documentation. Of the pool loans, 38.2% of them were underwritten to a 12-month or 24-month bank statements.

Notes are expected to pay a coupon of 4.5% on the A1 through M2 tranches, compared with a 5.25% coupon on the previous deal.

The loans are secured by single-family residential properties, townhouses, planned-unit developments, condominiums, and two- to four-family residential properties.

The portfolio has high credit quality loans and geographic concentration.

The WA original term is about 68 months for all three pools. That is shorter than the term on the previous series, but within the range of terms on recent deals.

The market for estate loans packaged into debt slowed dramatically after the Federal Reserve sharply raised interest rates in 2022.

Yields, are expected to come in ranging from 4.4% on the class A notes, to 4.5% on the class A4 notes.

Cross 2025-H3 has moderate leverage, according to KBRA, with a weighted average (WA) loan-to-value ratio of 72.3%, and a debt-to-income ratio of 33.5%.

Borrowers' high incomes and the abundance of monthly free cash flow speed up repayments and mitigate the transaction's exposure to economic downturns.

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%.

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.