Park Capital Management is set to launch its third mortgage securitization of the year through the PRKCM platform. They aim to secure $320.8 million in investment. The collateral includes diverse assets like non-qualified mortgages, loans exempt from ability-to-repay rules, first and second-lien mortgages, and fully amortizing loans. Various property types, including single-family homes, planned-unit developments, condominiums, townhomes, and two- to four-family homes, make up the collateral pool, as reported by the Asset Securitization Report’s deal database.

The closing date for the deal is set for September 13. While the manager for this deal wasn’t specified, ATLAS SP Partners handled the program’s previous two transactions this year, as reported by Finsight. Currently, S&P is the sole rating agency to provide preliminary ratings, anticipating ‘AAA’, ‘AA’, and ‘A’ ratings for the A1, A2, and A3 notes. The mezzanine tranche, M-1, is expected to receive a ‘BBB’ rating, with ‘BB’ and ‘B’ ratings assigned to the B-1 and B-2 notes, respectively.

According to S&P, PRKCM 2023-AFC3 will utilize a senior-subordinate waterfall and a hybrid pro-rata-sequential arrangement to reimburse investors. The notes feature credit enhancement ranging from 33.40% for the A-1 notes down to 2.85% for the class B-2 notes.

Furthermore, the three A classes will release fixed-rate notes, whereas the mezzanine and three subordinate classes will be valued based on the net weighted average coupon, as stated by S&P. In the prior deal, the pricing relied on the three-month interpolated yield curve across the entire structure, as per the ASR database.

S&P Global Ratings analysts found that PRKCM 2023-AFC3’s collateral pool, while weaker than prime pools, meets expectations for a nonprime portfolio. It includes 816 mortgages with an average loan balance of $393,158, a weighted average original CLTV of 67.8%, and a debt-to-income ratio of 37.9%.

S&P reported that approximately 48.7% of the collateral pool consists of adjustable-rate loans. Full documentation underwriting represents a mere 27.1%, whereas alternative methods like bank statements and profit & loss documentation account for 40.1%. Asset depletion and debt-service coverage ratio underwriting make up 32.8% of the pool. Additionally, self-employed borrowers constitute 41.6% of the pool, while loans to foreign borrowers make up 13.1%, according to the rating agency.