Heading in the direction of becoming a major player in the securitization game, Impac Mortgage Holdings Inc. is set to come to market with a $250 million mortgage-backed offering in March.

"Approximately every 60 to 90 days we will be issuing another securitization that ranges anywhere from $200 to $400 million," said William Ashmore, chief operating officer of the company. "These are all mortgage-backed."

The California-based company recently completed an asset-backed securitization and plans to increase its overall issuance this year.

"Last year we had over half a billion dollars in securitizations," said Ashmore. "Our plan this year is to have an excess of $1.5 billion in securitizations completed."

The two-part transaction, which was assigned a AAA rating and Baa2 rating by Moody's Investors Service, consisted of a $429 million A-class and a $23 million B-class. The average lives were 2.7 years.

The loan pool had a small percentage of second-lien loans with high LTVs, meaning it would suffer nearly 100% loss should the borrowers default, according to a report issued by Moody's.

The deal was a collateralized mortgage obligation with a floater tied to it and sold as an asset-backed securitization.

"We will probably have one more of those done by the end of the year," said Ashmore. "The majority of the securitizations we are going to do will be mortgage securitizations in a Remic format and we will do some asset-backed securitizations done in a CMO format towards the end of the year."

Ashmore says that the company is currently investigating different structures on its CMOs that would allow it to remain cash-neutral at the end of the day, retaining some of the residual interest in the securitization.

"In the last transaction we did not get there," said Ashmore. "The structure we used in this last CMO was slightly different than the one we used before that. We're constantly reevaluating depending on the marketplace. The last one we were looking to do was going to be a senior/subordinate transaction with an over-collateralization, but we asked Ambac to be the re-insurer on the transaction."

How the Company Works

IMH operates three main businesses. Within the mortgage operations the company has a corresponding lending division that acquires closed loans from different mortgage bankers. In addition to that the company has also started a wholesale and retail-mortgage operation.

"So we originate directly from brokers and borrowers on a nationwide basis," said Ashmore. "We have been doing business predominately through the Internet on a business-to-business basis with our customers. We do a small amount of direct to the consumer, but proponents of our business are done on a business-to business basis through the Internet."

The company acquires the loans that it is originating on a business-to business basis, with some origination online.

"We are doing business with our customers on an online basis," said Ashmore. "The difference here is that when you say they [the loans] originated online is that when we are acquiring the loans through the brokers and correspondents we are doing it predominately online. We are not directly originating the loans online."

IMH will be introducing its automated underwriting system, "IDASL" (Impac Direct Access System for Lending), in the first quarter. The system does risk-based scoring from a pricing perspective in addition to making an underwriting decision that also automatically does approval and pricing for mortgage insurance if its needed. Ashmore says that IDASL should be fully operational by mid-year.

"It will allow a broker or correspondent of ours to directly input a loan or download a loan from the origination system online into the system," explained Ashmore. "It will either do a pre-qualification or a full loan approval and also issue a pricing and adjust rate. If mortgage insurance is required it will also automatically approve that."

Subsequent releases of IDASL will include fraud detection in addition to automated collateral review.

"A substantial amount of quality control will be completed at the point of sale," said Ashmore.

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