Securitization

The deal features a principal acceleration trigger. If breached, the transaction will divert all additional funds to paying down the principal on the notes.

The transaction comes to market with initial hard credit enhancement levels of 33.60%, 22.90%, 13.50% and 8.65% across the subordinate tranches, higher than the previous deal.

The A1 VFN tranche is a variable funding note whose proceeds can be used for general corporate purposes, including acquisitions.

An array of unnamed originators accounted for the large majority of originators in the pool, 89.3%, the rating agencies said, while Hometown Equity Mortgage originated 10.7% of the pool.

Economic uncertainty weighed on risk appetite, but the current performance of the non-QM market is "durable," Angel Oak leaders said in an earnings call.

Kapitus funds receivables through two revolving securitizations totaling $575 million, and a $230.1 million warehouse line of credit from Truist, which matures in June 2027.

PRET 2026-RPL2 uses a sequential repayment structure, although the notes will not advance any principal and interest from delinquent loans.

Borrowers in the pool had a non-zero weighted average credit score of 608, with a 112.12% loan-to-value (LTV) ratio.

The notes are expected to pay coupons including 5.00% on the A6 through A30 tranches of notes, and 6.13% on the B1 through B6 notes.

The weighted average, base-case annualized gross loss declined from 11.78%, from 11.86%, because of minor changes in its assumptions of pool segment defaults.

The whole business deal, built around a master trust structure, will be repaid primarily from franchise royalty revenue.

The three class A notes, A1, A2 and A3, of GCAR 2026-2 notes will all benefit from hard credit enhancement levels, plus haircut to excess spread of 56.07%.

Irrespective of the transaction's trigger status, PRKCM 2026-AFC3 will pay the A-1FCF first, until its balance is reduced to zero, and then to the A-1LCF until it is paid down.

Bank statement underwriting, often applied in situations where the borrower is self-employed, accounted for the plurality of documentation types in the pool, at 44.9%.

The deal saw notable changes from SCLP 2021-1, especially an increase in target and initial overcollateralization.

Tower Point Capital, the deal's manager, is considered to have one of the largest privately held wireless infrastructure portfolios in the U.S.

Non-qualified loans are the majority of loans in the pool, 59.2%, while loans exempt from the Ability-to-Repay/Qualified Mortgage rule, represent 35.9%.

February's securitization from Vertical Bridge was the sector's largest-ever deal and included the sector's first single-B rated tranche.

Any additional securities that the transaction issues will rank equally with the class that has the same class designation.

Initially, the transaction will follow a sequential repayment structure that requires each note class to reach a required overcollateralization percentage before the next subordinate class begins receiving principal.