Credit Suisse plans to issue a £265.5 million ($392 million) securitization of legacy mortgage assets originated by Edeus Mortgage Creators, Kensington Mortgage Co, Amber Homeloans and Paratus (formerly GMAC-RFC).
Edeus, GMAC and Amber ceased lending in 2008. Kensington, which has originated 19 of the loans in the mortgage portfolio, is actively lending in the UK non-conforming sector with a strong focus on near-prime borrowers.
The securities will be issued from the bank’s Aggregator of Loans Backed by Assets platform. DBRS and Kroll Bond Ratings Agency assigned preliminary ratings to the transaction.
Most of the loans were originated pre-crisis in 2006 (27.11%) and 2007 (71.09%) and have a weighted-average current loan-to-value ratio of 84.57%, according to a DBRS presale report. Borrowers with a high original LTV ratio are deemed more likely to default on their obligations than borrowers with lower original LTV ratio loans. As of December 31, 2014, 7.85% of the loans are past due greater than one month with 3.67% of the loans past due for at least three months. Half of the loans (50.47%) have exhibited a clean payment history since origination.
On offer is £179 million of triple-A rated, class A notes, £21 million of double-A, class B notes and £21 million of single-A rated , class C notes. The $18 million tranches of class D note is rated BBB’/ BBB+’ and the £21 million of class E notes is rated BB-/ B, respectively by Kroll and DBRS.
Pepper UK Limited (Pepper) will service the mortgage portfolio. Pepper has been servicing this mortgage portfolio since the beginning of 2010 and has extensive experience in servicing mortgages in the UK non-conforming sector.