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AIG returns with 2nd jumbo RMBS from Pearl Street shelf

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American International Group is marketing its fourth securitization of prime jumbo mortgages acquired by its residential mortgage group lending affiliate, and only the second since the insurer adopted its own issuance platform this year.

Pearl Street Mortgage Company (PSMC) 2018-2 Trust will issue $429.3 million of certificates backed by 682 high-balance residential property loans taken out by borrowers with hefty reserves and strong credit profiles.

The credit profiles of borrowers on the loans match up with those in AIG's prior deal: The weighted average FICO is 777, including 28.1% with FICOs of 800 or higher, with average income of $243,738 and liquid reserves of $236,904. The loans are seasoned an average of three months, close to the five months for PSMC 2018-1.

The deal comes just two months after AIG’s PSMC 2018-1 transaction in March.

All the loans in the pool are current and pay fixed rates of interest, and finance primary residences.

Seven classes of senior bonds with expected triple-A ratings from Fitch Ratings and DBRS will be issued as exchangeable certificates with variable fixed rates (3.5% for the senior-most Class A-3, A-5 and A-9 notes, totaling $328.5 million. The A-19 and A-20 class notes adding up to near $73 million will carry 3% rates and will have the same 15% level of credit enhancement as the A-3 and A-5 notes. (The A-9 notes will have 6.5% initial CE.)

Five other subordinate class B note tranches with a combined value of $26.6 million will also be included in the transaction.

The mortgage loans were acquired from among a network of up to 70 originators. The highest concentration of loans (with average balances of $629,512 and with a weighted average coupon of 4.113%) were acquired from New Penn Financial (7.3% of the pool) and CMG Mortgage (5.9%).

The average original loan size of $637,333 is considered elevated by DBRS, although the agency notes that level "is not considered significant for a nonconforming pool, given that the maximum conforming loan limit for high-cost areas is as high as $679,650 for single-family homes."

California properties represent 35.7% of the collateral pool, and two of the top three metropolitan statistical area groupings in that state: 7% in the Oakland-Hayward-Berkeley region and 5.9% in the Los Angeles-Long Beach-Glendale area.

The loans will be serviced by Censlar.

Residential Mortgage Lending, a special asset class within AIG Investments, has been purchasing prime jumbo mortgages since 2013 through correspondent channels. All loans are purchased on a closed-loan basis, and since being created in 2013, RML has purchased over 15,000 loans and securitized $1.5 billion of them in the past nine months. The firm holds another $4.5 billion in the portfolio for AIG insurance companies.

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RMBS RMBS prime jumbo Nonconforming loans AIG