RUN 2022-NQM1 aims to raise $331.4 million in MBS

The RUN 2022-NQM1 Sponsor is preparing to come to market with a $331.4 million mortgage-backed securities (MBS) transaction, secured by a collateral pool consisting largely, 56%, of non-qualified mortgages.

RUN 2022-NQM1 is collateralized by 525 loans, most of which, 82%, that were underwritten to a standard that falls below full documentation. A large portion of the collateral assets, 42%, were underwritten according to a bank statement program relying on 12- or 24-months of borrowers bank statements, according to a pre-sale report from Fitch Ratings.

Non-QM assets overlap almost perfectly with the portion of loans, 52%, financing properties where the borrower intends to maintain as a primary residence.

Barclays Capital is the lead underwriter on the transaction, which will issue the notes through a senior-subordinate capital structure. The trust will pay interest distribution amounts, plus any unpaid interest shortfalls on classes A-1 through A-3 among the senior notes, then the M-1 and the B-1 notes, before distributing principal to the A-1 and A-2 notes. After that, the remaining classes will receive current and unpaid interest shortfalls, followed by principal distributions until the class balance is paid down to zero, Fitch said.

Long Run Partners aggregated the mortgages, which multiple lenders originated. Oaktree originated the majority of loans, 65%, while other companies accounted for the remaining 35%, Fitch said.

The notes benefit from credit enhancement of 28.3% on the A-1 notes to 3.6% on the B-2 notes, according to Fitch.

On average, the loan balance is $631,410. On a weighted average (WA) basis,

The loans have an original loan-to-value (LTV) ratio of 73.3%, and a model FICO score of 738. Geographically, the mortgages are highly concentrated, with California accounting for the largest portion, 47.1%. Among MSAs, Los Angeles represents the largest ratio of loans, 25%, according to Fitch.

Fitch expects to assign ratings ranging from ‘AAA’ on the A-1 notes to ‘A’ among the A-1 through A-3 notes; ‘BBB’ on the M-1 notes; and ‘BB’ and ‘B’ on the B-1 and B-2 notes, respectively, Fitch said.

The notes have a stated final maturity of March 2062, according to Fitch.