Invictus Capital returns with 2nd nonprime RMBS

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Invictus Capital Partners is marketing its second nonprime mortgage securitization.

Like the sponsor’s debut deal, completed in February, Verus Securitization Trust 2017-2 is backed primarily by loans to borrowers with strong credit who chose to use bank statements to verify their income, rather than more traditional documents such as tax returns, loans to borrowers with a prior foreclosure or bankruptcy, and loans are not eligible to be purchased by Fannie Mae or Freddie Mac because they are for business purposes or to foreign nationals.

The credit characteristics of the collateral are broadly similar to those of the previous deal: borrowers have high FICOs (weighted average 701) and significant equity in their properties (weighted average LTV is 68.5%). However, the average loan balance is nearly $100,000 lower at $407,090 versus $501,789 for the previous deal.

The deal also feature a new capital structure. While the previous deal issued a single, triple-A rated senior tranche of notes with 39.8% credit support, 2017-1 will issue three senior tranches; all are rated AAA by Morningstar Credit Ratings, but the credit support varies from 36.2% for the Class A-1 tranche, 29.95% for the Class A-2 tranche and 16.3% for the Class Q-3 tranche.

All of the loans are current; while 43 have prior delinquencies, for 31 loans, these delinquencies were a result of a servicing transfer or a borrower’s timely payment not being processed correctly.

Like other nonprime deals, the collateral is geographically concentrated; some 49.1% of the loans by current balance are in California. However, that’s down from 57.9% in Verus 2017-1.

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