The Gold Creek Asset Trust is preparing to issue its largest securitization of residential mortgage-backed securities this year. The deal also provides a sequential principal distribution to all of the certificates at all times, unlike recent non-prime securitizations that prioritize pro-rata principal distribution among the class A certificates.
GCAT 2021-NMQ6, the transaction is expected to issue $369.5 million in notes.
Blue River Mortgage III, LLC, a non-qualified mortgage vehicle owned by a single fund managed by Angelo, Gordon & Co., is sponsoring the transaction. GCAT 2021-NMQ6 is secured by 823 loans as of the transaction’s cutoff date of November 1, 2021, according to the Kroll Bond Rating Agency.
On average, the loans have a balance of $448,975, and all of the loans are first-liens, predominantly on single-family homes or planned unit developments, the largest concentration of property types, 77.6%. Multifamily homes comprise of the largest concentration (14.2%) of property types.
Barclays Capital and ¬Credit Suisse Securities are the initial note purchasers on the deal, and AmWest Funding Corp., Metro City Bank, Shellpoint Mortgage Servicing, and Royal Business Bank are servicing the notes.
The four most senior classes of notes, which include interest-only classes, are rates ‘AAA’ by KBRA. Lower classes are rated ‘AA+’ through ‘B-’¬¬¬.
Geographically, California accounts for the highest concentration by pool balance, 42.3%, followed by New York, 25%, and Florida, which accounts for 9.4%. The top five states account for 85.5%.
The borrowers have an original weighted average FICO score of 741, according to KBRA, and a WA original loan-to-value of 66.6%. Borrowers also had a non-zero WA annual income of $486,620, and liquid reserves of $288,299.
GCAT also has excess spread to offset losses and cap carryover amounts. The scheduled notional amounts of the class A-1X certificates are expected to fall to zero in month 41, and after that point the certificates in the GCAT 2021-NMQ6 will see increased benefit from additional credit enhancement in the form of excess spread.
The collateral’s weighted average coupon, 5.2%, and A-1X coupon/notional amounts in the trust result in lower initial monthly excess cashflow compared with recent GCAT transactions, according to KBRA.
