RMBS

Irrespective of the transaction's trigger status, PRKCM 2026-AFC3 will pay the A-1FCF first, until its balance is reduced to zero, and then to the A-1LCF until it is paid down.

Bank statement underwriting, often applied in situations where the borrower is self-employed, accounted for the plurality of documentation types in the pool, at 44.9%.

Non-qualified loans are the majority of loans in the pool, 59.2%, while loans exempt from the Ability-to-Repay/Qualified Mortgage rule, represent 35.9%.

KBRA noted that debt service coverage ratio underwriting accounted for the largest portion of the loans in the pool, 35.0% and 52% of borrowers in the pool are self-employed.

Losses stemming from the 2022 vintage have been offset by excess spread, while cure and roll rates signal caution.

All 244 underlying loans initially had a period of fixed rates between 60 and 120 months at origination and are currently ARMs, although none are interest-only.

Full documentation was completed on just 17.9% of the pool, Fitch said, while bank statements and debt service coverage ratio (DSCR) account for 17.6% and 28.0%, respectively.

Full documentation was only applied to 2.6% of the underlying pool of mortgages. Debt-to-income, however, was 23.3% when it was applied.

Some 90.3% of the loans have had a clean payment history over the past 12 months, with a 1.3% delinquency rate.