RMBS

RATE 2026-J1 has a seasoned probability of default of 6.4% and 1.3% on the 'AAA' and 'B' rating stress levels, respectively.

LendSure originated more than one third of the loans in the pool, while American Heritage Lending and The Loan Store represent 14.8% and 11.1% of the pool.

The collateral pool consists of 1,318 mortgages, aggregated by Invictus Capital Partners from originators that include NewRez, and each accounts for less than 10% of the mortgage loans.

First liens and junior liens account for 197 and 1,755 of the pool, respectively, DBRS said. They have unpaid balances of $30.5 million and $217 million, with FICO scores of 747 and 740 on a WA basis.

The Loan Store originated the largest portion of mortgages in the pool, 10.3%, according to Fitch, while an array of other lenders accounted for the rest.

Underwriting relied heavily on alternative documentation, led by debt-service coverage ratios (35.7%) and bank statements ranging from 12-23 months (28.2%) and longer than 24 months (4.6%).

After closing, which is expected on February 27, coupons are expected to pay coupons of 4.83% on the notes rated AAA and 5.04% on the AAA-rated A1LCF.

Gatti will be based in the firm's Washington, D.C. office, where he focuses on structuring and executing asset-backed securities deals and other structured finance transactions.

GSMBS 2026-PJ2's losses are based on a senior-subordinate, shifting-interest structure and Fitch expects a 10.3% final probability of default in the AAA rating stress.

SEMT 2026-2, will repay investors through a senior-subordinate structure, with a shifting-interest structure.