COLT 2024-INV4 Mortgage Loan Trust Certificates Assigned Preliminary Ratings
Overview
- COLT 2024-INV4 Mortgage Loan Trust's issuance is an RMBS transaction backed by 601 first-lien, fixed- and adjustable-rate, fully amortizing, ability-to-repay-exempt, business-purpose investment property residential mortgage loans to prime and nonprime borrowers (some with interest-only periods).
- We assigned our preliminary ratings to the class A-1, A-2, A-3, M-1, B-1, and B-2 certificates.
- The preliminary ratings reflect our view of the transaction's credit enhancement, associated structural mechanics, and geographic concentration, among other factors.
NEW YORK (S&P Global Ratings) Nov. 14, 2024--S&P Global Ratings today assigned its preliminary ratings to COLT 2024-INV4 Mortgage Loan Trust's mortgage-backed certificates (see list).
The certificate issuance is an RMBS transaction backed by first-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans to both prime and nonprime borrowers (some with interest-only periods). The loans are secured by single-family residential properties, planned-unit developments, condominiums, townhouses, two- to four-family residential properties, condotels, and a cooperative. The pool consists of 601 business-purpose investment property loans, which are all ATR-exempt loans.
The preliminary ratings are based on information as of Nov. 14, 2024. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of:
- The pool's collateral composition (see the Collateral Summary section below);
- The transaction's credit enhancement, associated structural mechanics, representation and warranty (R&W) framework, and geographic concentration;
- The mortgage aggregator and originators; and
- An acceleration in the pace of monetary policy easing, which is one key change in our baseline forecast since June. (See our latest macroeconomic update, "Economic Outlook U.S. Q4 2024: Growth And Rates Start Shifting To Neutral," published Sept. 24, 2024.) We anticipate the Federal Reserve will deliver two more rate cuts of 25 basis points (bps) this year and a total of 225 bps of rate cuts by year-end 2025--a 75 bps increase from our prior forecast. We continue to expect real GDP growth to slow from above-trend growth this year to below-trend growth in 2025, accompanied by a further rise in the unemployment rate and lower inflation. However, our probability of a recession starting over the next 12 months remains unchanged at 25%.With personal consumption still healthy for now, near-term recession fears appear overblown. Therefore, we maintain our current market outlook as it relates to the 'B' projected archetypal foreclosure frequency of 2.50%. This reflects our benign view of the mortgage and housing markets, as demonstrated through general national-level home price behavior, unemployment rates, mortgage performance, and underwriting.
Related Criteria
- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings, Oct. 10, 2021
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities, Dec. 22, 2020
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation And Special-Purpose Entity Criteria, May 15, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- Criteria | Structured Finance | RMBS: U.S. Residential Mortgage Operational Assessment Ranking Criteria, Feb. 22, 2018
- Criteria | Structured Finance | RMBS: Assumptions Supplement For Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018
- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018
- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28, 2009
Related Research
- Presale: COLT 2024-INV4 Mortgage Loan Trust, Nov. 14, 2024
- U.S. Residential Mortgage Operational Assessment Rankings (Nov. 14, 2024), Nov. 14, 2024
- U.S. RMBS Newsletter October 2024, Oct. 31, 2024
- U.S. Home Price Overvaluation Ticks Up As Wage Growth Lags Home Price Gains, Oct. 14, 2024
- Economic Outlook U.S. Q4 2024: Growth And Rates Start Shifting To Neutral, Sept. 24, 2024
- Non-QM Spotlight On Short-Term Rentals, Sept. 12, 2024
- Servicer Evaluation: Fay Servicing LLC, June 20, 2024
- S&P Global Ratings Publishes List Of Third-Party Due Diligence Firms Reviewed For U.S. RMBS As Of May 30, 2024, May 30, 2024
- Select Servicer List, May 17, 2024
- The Impact Of Rising Insurance Premiums On U.S. Housing, April 22, 2024
- U.S. Home Price Overvaluation Softens As Wage Growth Outpaces Home Price Gains, April 15, 2024
- U.S. Home Price Overvaluation Relatively Steady, But Bumps Up A Bit, Feb. 5, 2024
- 2024 U.S. Residential Mortgage And Housing Outlook: A Rate And Supply Story, Jan. 17, 2024
- S&P Global Ratings Definitions, June 9, 2023
- U.S. RMBS: A Closer Look At DSCR Loans, April 6, 2023
- Servicer Evaluation: Select Portfolio Servicing Inc., Jan. 24, 2023
- ESG Industry Report Card: Residential Mortgage-Backed Securities, March 31, 2021
- U.S. Residential Mortgage Input File Format For LEVELS, March 6, 2020
- Investor Property DSCR Loans: The Nonqualified Mortgage Exempt From Qualified Mortgage Rules, Aug. 27, 2019
- Credit Rating Model: LEVELS Model For U.S. Residential Mortgage Loans, Aug. 5, 2019
- Credit Rating Model: Intex RMBS Cash Flow Model, April 7, 2017
- Older RMBS Transactions Face Increased Tail Risk As Their Pools Shrink, Aug. 9, 2012
Preliminary Ratings Assigned(i)
COLT 2024-INV4 Mortgage Loan Trust
- Class A-1, $151,378,000: AAA (sf)
- Class A-2, $13,386,000: AA (sf)
- Class A-3, $22,854,000: A (sf)
- Class M-1, $11,209,000: BBB (sf)
- Class B-1, $7,944,000: BB (sf)
- Class B-2, $6,421,000: B (sf)
- Class B-3, $4,462,540: NR
- Class A-IO-S, notional(ii): NR
- Class X, notional(ii): NR
- Class R, not applicable: NR
(i)The collateral and structural information in this report reflects the Nov. 12, 2024, term sheet. The preliminary ratings address the ultimate payment of interest and principal. They do not address payment of the cap carryover amounts. (ii)The notional amount will equal the aggregate principal balance of the mortgage loans as of the first day of the related due period. NR--Not rated.
European Endorsement Status
Global-scale credit rating(s) issued by S&P Global Ratings' affiliates based in the following jurisdictions [To read more, visit Endorsement of Credit Ratings] have been endorsed into the EU and/or the UK in accordance with the relevant CRA regulations. Note: Endorsements for U.S. Public Finance global-scale credit ratings are done per request. To review the endorsement status by credit rating, visit the spglobal.com/ratings website and search for the rated entity.
'sf' Identifier
The 'sf' identifier is assigned to ratings on structured finance or securitization instruments when required to comply with an applicable law or regulatory requirement or when S&P Global Ratings believes it appropriate. The addition of the 'sf' identifier to a rating does not change that rating's definition or our opinion about the issue's creditworthiness. For detailed information on the instruments assigned the 'sf' identifier, please see the appendix to "S&P Global Ratings Definitions" for the types of instruments that carry the 'sf' identifier. To see if a credit rating has a 'sf' identifier, visit the standardandpoors.com website and search for the rated entity.
Primary Credit Analysts: | Terry G Osterweil, New York + 1 (212) 438 2567; terry.osterweil@spglobal.com |
Allison Bernhard, New York + 212-438-1488; allison.bernhard@spglobal.com | |
Secondary Contacts: | Brendan J Leu, Englewood + 1 (303) 721 4137; brendan.leu@spglobal.com |
Truc T Bui, San Francisco + 1 (415) 371 5065; truc.bui@spglobal.com | |
Analytical Manager: | Vanessa Purwin, New York + 1 (212) 438 0455; vanessa.purwin@spglobal.com |
Research Contributor: | Khilti Shah, CRISIL Global Analytical Center, an S&P affiliate, Mumbai |
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