Chimera Corp., a real estate investment trust absent from the prime jumbo mortgage bond market for the past five years, is prepping its first rated offering of is marketing its first rated offering of bonds backed by reperforming mortgages, according to Fitch Ratings.

Chimera has previously issued unrated bonds backed by loans that were once delinquent but are now making timely payments. It has also completed five offerings of bonds backed by prime jumbo loans between 2008 and 2012.

All of the loans backing the $512 million transaction, dubbed CIM 2017-7, were acquired in the secondary market.
The bulk of the collateral pool, 83.2%, are loans that have been modified. Non-interest-bearing principal forbearance amounts totaling $34.4 million (6.7%) of the unpaid principal balance are outstanding on 1,877 loans.

Approximately 6.8% of the pool was one month behind on payments and 1.1% was 60 days delinquent as of the cut-off date. The loans are 137 months seasoned, on average. That’s a relatively high percentage compared with similar transactions that Fitch ratings has rated recently.

Moreover, approximately 59.7% of the pool is current but has had a delinquency in the prior 24 months or did not have a 24-month payment string provided and 32.4% has been current for 24 months or longer.

On a positive note, a third-party review resulted in 7.7% of the loans received a grade of ‘C’ or ‘D’, meaning the loans had material violations or lacked documentation to confirm regulatory compliance. This is below the average of approximately 10.8% seen in other transactions Fitch has rated recently.

Select Portfolio Servicing is servicing 100% of the pool.

Fitch expects to assign an AAA rating to $264.17 million of senior notes, which benefit from 48.45% credit enhancement.

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