Caliber Home Loans is marketing the first private-label, residential mortgage-backed bond sale of 2021 with its latest pool of nonprime loans, according to Fitch Ratings.
COLT 2021-1R Mortgage Loan Trust is a $153.65 million transaction featuring 10 tranches of notes, secured by 268 first- and second-lien mortgage loans originated by Caliber.
A large majority of the loans (61% of the pool) are non-qualified under the Consumer Financial Protection Bureau’s ability-to-repay standards, mostly due to borrower debt-to-income ratios that exceed 43%.
In addition, 12.1% of the mortgages have had modifications and 13.1% are considered “dirty current” with a delinquency reported within the last 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 non-safe harbor designation on much of the pool. About 26% of the loans do meet QM standards.
Another 12% are considered “higher-priced” qualified, meaning that the loans are presumed QM but are not safe harbor because they carry APRs in excess of 1.5% of the prime offer rate (first-liens). Fitch Ratings noted these loans’ ATR compliance can be challenged by borrowers.
Of note, 64 of the borrowers in the pool have requested COVID-19 payment relief plans, of which 13 remain in forbearance and are treated as delinquent. All but five of the loans reinstated from relief plans have regained current status.
Fitch considers the pool’s overall 8% delinquency rate is higher than average; such delinquent loans have a 95% probability of default in Fitch’s loss models.Master servicer Wells Fargo will provide six months of advance P&I on delinquent accounts, the report adds.
The transaction’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 nonprime RMBS deals only for issuers with at least a three-year track record, or who acquire mortgages only from sellers with their own solid background in originations.
