HELOCs

Aside from the pool primarily made up of second and junior liens in the pool, 82.2% of the loans were underwritten with alternative documentation.

None of the loans registered a delinquency in the past 24 months, and none had received a modification prior to the May 31 cutoff date.

One of the subordinate tranches, the BX is exchangeable, while credit enhancement levels on the notes range from 35.70% on the A1 notes to 3.5% on the B3 tranche.

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.

Price growth is decelerating but still driving historic home equity gains for owners and widening the gap between the haves and have-nots in housing, ICE finds.

Overall, the loans also have a weighted average (WA) FICO score of 742, an original cumulative loan-to-value ratio of 77.9%, and debt-to-income ratio of 37.5%.

Originators funded 72.6% of the loans in 2023, while 16.7% of the loans were funded in 2022 and originators funded the rest between 2021 and 2018.

Though home mortgage issuance has slumped in line with originations, new potential bank capital rules and increased consumer debt consolidation could boost activity for these two subsets in the secondary market.

Notes will be repaid through a modified sequential structure, which calls for the A-1 and M-1 through M-3 classes to receive principal on a pro-rata basis.

Among the nonperforming assets 44.01% are either in foreclosure or referred for foreclosure; 19.32% are in default; 7.17% are liquidated and 1.75% are in bankruptcy.