Caliber Home Loans markets the first private label residential mortgage-backed bond sale of 2021 with its latest pool of non-senior loans, according to Fitch Ratings.
COLT 2021-1R Mortgage Loan Trust is a $ 153.65 million transaction comprising 10 tranches of notes, secured by 268 first and second mortgages issued by Caliber.
A large majority of loans (61% of the pool) do not qualify for the Consumer Financial Protection Bureau’s repayment capacity standards, mainly due to borrower debt-to-income ratios that exceed 43%.
Additionally, 12.1% of mortgages have undergone modifications and 13.1% are considered “outstanding” with a default reported within the past 24 months.
But the pool’s borrower base has an average FICO of 728 and a current loan-to-value ratio of 74.7%, offsetting the risk of safe harbor designation over much of the pool. About 26% of loans meet QM standards.
An additional 12% is considered to be qualified as “higher price”, which means that the loans are presumed to be QM but are not safe-havens as they carry APRs above 1.5% of the prime rate (first privilege). Fitch Ratings noted that the ATR compliance of these loans can be challenged by borrowers.
It should be noted that 64 of the borrowers in the pool have requested COVID-19 payment relief plans, of which 13 remain outstanding and are treated as past due. All but five of the loans reinstated under the relief plans have returned to their current status.
Fitch considers the pool’s overall failure rate of 8% to be above average; these delinquent loans have a 95% probability of default in Fitch’s loss models. Prime contractor Wells Fargo will provide six months of early P&I on overdue accounts, the report adds.
The deal’s capital stack includes a $ 153.65 million Class A-1 tranche with preliminary AAA ratings from Fitch. Fitch notes that it reserves AAA ratings on non-prime RMBS transactions only to issuers with at least three years of experience, or who only acquire mortgages from sellers with their own strong background in investing. origination.