RMBS

Notes A, B and C benefit from credit enhancement amounting to 33.3%, 16.2% and 7.0%, and the deal's capital structure will repay investors on a combined pro-rata and sequential basis.

Under the capital structure the senior notes will be repaid on a pro rata basis. Otherwise, the notes in the structure will benefit from excess spread and a senior-subordinate structure.

The fixed-rate loans are divided into three sub-pools that relied on rating methods from the RMBS, CMBS and ABS sectors to assess their risks.

At the pool level, loans have a weighted average minimum liquid reserve of $5 million, and at the loan level the minimum for liquid reserves is $1 million for sponsors without a FICO score.

Aside from the cash flow stabilization, another credit positive to the deal, TAH Operations is property manager to the portfolio, and has strong processes and controls.

Both series will repay investors through a senior-subordinate, pro rata structure with a locked-out class and a senior enhancement floor to mitigate tail risk and shore up credit support.

Fixed-rate loans account for much of the pool of mortgages, a little more than half of which are financing the purchases of single-family, primary residences.

DBRS assumes a base-case net cash flow of $15.8 million on the portfolio, about 28% lower than the issuer underwritten net cash flow amount of $21.9 million.

The deal has an underwriting debt-service coverage ratio (DSCR) of at least 1.0, and Morningstar says the issuer reports a loan-to-value ratio of 81.00%.

Among the options is a synthetic risk transfer backed by a portfolio of about $5 billion of home loans originated when interest rates were lower.