RMBS

Flat growth is expected for mortgages and auto loans, while credit card loan growth will slow down.

Some 630 residential mortgages provide the collateral for the deal, and that includes a substantial majority, 81.0%, that the rating agencies consider to be non-prime.

Its first of 2024, the collateral has an average loan balance of $368,691, a combined loan-to-value ratio of about 71.7%, a WA household income of $596,633, and liquid reserves of $172,562.

In many ways the pool exhibits prime characteristics that are in line with other transactions from the MSRM platform, with an original FICO score of 772, an original loan-to-value ratio of 73.9%, and an original cumulative LTV of 74.2%.

The coupons on the class A notes steps up after four years by 100 basis points, but the coupons are subject to a net weighted average coupon (WAC) cap.

The sponsor sourced the mortgage collateral from a range of originators, but none of them accounts for more than 10% of the pool balance.

A lockout feature helps extend subordination to preserve the senior notes against losses later in the transaction's cycle—notes have a final scheduled repayment date of January 2054.

Throughout the year, auto ABS was a stronger performer than other consumer ABS asset classes, with $141.1 billion in new securitization business.

The trust distributes scheduled principal on a pro rata basis. There is also a specified lockout period during which the subordinate classes do not receive any unscheduled principal.

For the most part the underlying loans have very low default rates. Almost the entire pool, 91.8%, is clean current, and appear to have performed well into the period where they were expected to experience greater losses.