RMBS

Some 63.8% of the assets in the pool are modified loans, and for 92.6% of those loans, the modifications happened more than two years ago.

The A1A notes benefit from credit enhancement levels that equal 30% of the note balance in that tranche.

The subordinate classes will always pay principal sequentially, but their repayments start after all the senior classes have been retired.

About 73.9% of the underlying mortgages were underwritten through debt service coverage ratio (DSCR) and 12- to 23 months of profit and loss and bank statements.

The deal will issue class A through class G certificates through a structure of eight tranches, which includes a payment-in-kind feature for the class E, F1, F2 and G certificates.

Saudi banks may transfer as much as $48 billion in legacy mortgages to SRC by 2030, unlocking liquidity and enabling almost $23 billion of securitization for investors.

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.

The collateral pool is composed of a mix of 939 first-lien loans, lent to highly qualified borrowers, and under tightened underwriting standards.

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