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Chimera adds pandemic-impacted mortgages to next RPL pool

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Chimera Investment Corp. is sponsoring its second securitization of performing and reperforming loans since the onset of the coronavirus pandemic.

The $338.42 million CIM Trust 2020-R5 is a pool of 2,222 season RPLs acquired by Chimera that have recovered from previously distressed status.

About 2.5% were 30 days delinquent as of cutoff date for the pool, compared to just 1.5% for Chimera's previous RPL transaction in March.

However, the former figure does not include the 4% (or $14.5 million across 722 loans) of pooled mortages that are in deferral status due to COVID-19 relief. Such loans are still treated as delinquencies under ratings agency methodology for the pool.

Nearly 45% of the loans are considered “dirty current,” either from a missed payment in the previous two years or the lack of a full 24-month pay history.

The age of the loans excludes them from the ability-to-repay qualified mortgage standard of the Consumer Financial Protection Bureau, but Chimera seeks to mitigate that risk by pooling well-seasoned loans. The loans — a mix of fixed, step-rate and adjustable-rate contracts — have an average age of 152 months.

Approximately 68.7% have been previously modified, according to ratings agency presale reports.

The largest concentration of mortgages (20.7%) in the pool are in California.

The transaction includes a $214.73 million Class A1 tranche of notes benefiting from 36.55% credit enhancement (up from 34.5% in CIM Trust 2020-R2), and which carry preliminary AAA ratings from DBRS Morningstar and Fitch Ratings.

Fitch has assigned an expected loss of 29.5% of the loans, up from 26% in Chimera's March transaction. The loss projections have gone up in consideration of the uncertainty of how far pandemic-related stressed will impact homeowners' job status and income.

DBRS Morningstar projects 26% expected losses, up from 24.5% in the prior transaction.

To account for potential payment shortfalls related to COVID-19, Fitch noted it assumed deferred payments on a minimum 40% of the pool for the first six months of the transaction.

Fay Servicing and Select Portfolio Servicing Inc. are the named servicers for the transaction. Like previous Chimera deals, there will be no advances of delinquent principal and interest payments from the servicers.

Chimera, organized as a mortgage real estate investment trust, has been an active RMBS issuer in the RPL space since 2014, and also been a sponsor prime jumbo and investor property RMBS deals.

The company has accumulated 139,639 loans totaling $13.3 billion as of year-end 2019.

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RMBS RPL Coronavirus Servicing