A pool of more than 300 non-prime residential mortgages, primarily fixed rate, will collateralize $292.4 million in residential mortgage-backed securities (RMBS) being offered to investors through the Hildene 2026-NQM1 Mortgage Trust.
Five A1 tranches of notes, including a first cash flow (FCF) and a last cash flow (LCF), will lead off the deal, according to analysts at Kroll Bond Rating Agency. The A1 tranches break down to the A-1A, A-1B, A1, and the A-1FCF and A-1LCF notes.
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The three senior A1 notes are expected to pay coupons of 6.78%, while the A-1A1 and A-1B1 tranches will pay coupons of 6.28%, and the A-1A2 and A-1B2 tranches will pay coupons of 6.03%.
There was a slight uptick in underlying borrowers' FICO scores, 759 in a WA basis, compared with the FICO scores of 755 and 756 on the series AFC6 and 2026-AFCS, respectively.
The pool has more prime borrowers buying more new vehicles and a higher concentration of vehicles with electric engineering.
The A1 class is broken down into three AAA-rated tranches, made up of initial exchangeable notes that can be exchanged for the exchangeable notes.
Classes A1 through A3, which is composed of seven tranches, are expected to pay coupons of 6.39%.
