GCAT plans to raise $423 million in MBS

A residential investment property collateral pool will underwrite the $423 million GCAT 2022-INV3 Trust, which is expected to hit the market at the end of the month.

According to ratings agency Kroll Bond, some 1,259 mortgages underlie the collateral and are divided into two main pools – BANA Block Acquisition Loans and Seller Block Acquisition Loans – each of which has a collateral with somewhat homogeneous credit characteristics. For example, on a weighted average (WA) basis, the BANA loans had a coupon of 4.4%, while the selling group had a WA coupon of 5.2%.

Mortgages are top quality and have many conventional features. All loans are senior, compliant and have been underwritten to full documentation standards, according to KBRA.

BofA Securities is the original purchaser of the Notes in the transaction. According to the KBRA, the trust will repay the issued notes and provide credit enhancement through a senior-subordinated and changing interest structure. The KBRA plans to assign “AAA” ratings to all classes secured by Group 1 and 2 mortgages.

Three super-senior Tier 1 sequential bonds will pay a coupon of 3.5%, while the corresponding super-senior Tier 2 sequential bonds will pay a coupon of 4.0%.

On an average basis, loans have a balance of $336,012 and borrowers have a median income of $165,347, WA liquid reserves of $271,145. The rating agency estimates that borrowers have a median monthly free cash flow of $5,611, the rating agency said.

On a WA basis, the loans originally had a loan-to-value ratio of 69.2% and an original WA FICO score of 768. About 29.4% of borrowers in the pool are self-employed, according to KBRA.

Lending is fairly concentrated among three large loan originators, which account for 85.4% of the pool balance. loanDepot.com, Home Point Financial Corp. and Arc Home represent the three largest originators and represent 35.8%, 28.0% and 21.6% of the pool balance respectively.

California and New York are the states with the highest concentrations of mortgaged properties, as are their respective metropolitan areas. By state, California has the highest concentration, at 29.8% and 11.6%, respectively. By the largest ASFC, New York, NY, makes up 16.5% of the pool, while Los Angeles makes up 9.6% of the pool, KBRA said.

Michael J. Birnbaum