RMBS

First-lien, agency-eligible mortgages secure the notes in the deal, which will issue notes through a senior-subordinate and shifting interest structure.

ABS issuance performance is largely neutral, with exceptions for stepped up volume, including auto. Inflation and COVID-related risks could overhang the industry.

Even among the non-QM loans in the reference pool, pegged to the SOFR, most of their characteristics fall in line with what is considered prime.

Under Home Partners Holdings’ right to purchase (RTP) program, RTP prices exceed purchase valuations by about $33.2 million, and on 817 properties.

Credit enhancement includes subordination, shored up by excess spread generated from excess spread between the cash flow on the collateral and the certificates.

The pool includes a high concentration of loans originated through alternative underwriting, and on investment properties. Just 10.3% of the pool received COVID forbearance.

All of the loans are non-prime loans, and this is the first transaction that BREDS will sponsor using the BINOM shelf.

The collateral pools consists of 578 loans, and the trust uses a senior-subordinate, shifting-interest structure that helps maintain a longer subordination period.

The deal also provides a sequential principal distribution to all of the certificates at all times, unlike recent non-prime securitizations.

Relatively tight pricing is expected on Citigroup Mortgage Trust 2021-INV2, although the coupons are expected to range from 0.49% to 3.0%.