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Chimera readies RMBS backed entirely by investment properties

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Chimera Investment Corp.’s next offering of private-label residential mortgage bonds is backed primarily by loans on investment properties that are eligible to be purchased by Fannie Mae or Freddie Mac.

The collateral for CIM Trust 2018-INV is comprised of 1,472 prime, first-lien, fixed-rate loans with a total principal balance of $407.99 million. All of the loans were either made to investors for business purposes (90.2%) or as cashout refinancing for personal use (9.8%), according to DBRS.

By comparison, the real estate investment trust’s previous transaction, completed in April, was backed by jumbo mortgages, and another in October 2017, was backed by loans that were once delinquent but are now making timely payments.

Loans that finance investment properties are considered to be at higher risk of default than loans that finance a borrower’s primary residence. Approximately 81.5% of the borrowers in the latest deal have more than one mortgaged property.

However, borrowers with three or more mortgages (with a maximum of 10) represent 45.5% of the pool and generally show considerable income and liquid reserve. The weighted average debt-to-income (DTI) ratio for borrowers with multiple properties is 33%, slightly higher than the overall DTI ratio for the entire pool. There are 43 borrowers who have multiple mortgage loans, with a maximum of four loans, included in this securitization.

The originators are Caliber Home Loans (26.4%), AmeriHome Mortgage (14.9%), Home Point (11.7%) and various other originators, each comprising less than 11% of the mortgage loans. The loans will be serviced or sub-serviced by Shellpoint Mortgage Servicing (92.3%) and TIAA, FSB (7.7%). Wells Fargo Bank will act as the Master Servicer, Custodian, and Securities Administrator. Wilmington Savings Fund Society, FSB will serve as Trustee.

The DBRS-calculated weithted average original combined loan to value ratio of 67.6% suggests that borrowers have considerable equity in their homes. Approximately 0.2% of the loans in the pool have piggybacks, and these loans represent a WA original CLTV of 76.3%. There are no second liens included in this pool.

The weighted average borrower current FICO score of 760 indicates strong borrower credit profiles. Because of the low seasoning of the loans, no FICO scores were refreshed. Approximately 14.1% of the loans have FICOs lower than 720, and 10.4% have FICOs of 800 or higher. When underwriting the loans, the originator typically used the middle of three scores or lower of two scores. The lowest of the borrowers’ scores was used.

The loans also have clean payment histories. The pool is on average four months seasoned, with a maximum age of nine months. The payment histories are clean on 97.1% of the loans; 2.5% of the loans have missed a single payment, and 0.3% have missed two payments. None of the loans were modified.

The CIM 2018-INV1 pool has a moderate geographic concentration, with California representing 43.3% of the pool, and the top three states representing 54.5%. DBRS said this is comparable with prime jumbo transactions it has rated, but is more concentrated than agency credit-risk transfer transactions

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