RMBS

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.

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.