Itasca Park is sponsoring a securitization of revenue from a pool of non-prime mortgages that will raise $302.4 million and sell the notes through a trust called the CLIP 2026-NQM1.
Slated to close on April 30, the deal will sell the debt through about 11 tranches of class A, M and B tranches of notes, according to Kroll Bond Rating Agency.
All the senior notes, composed of seven tranches of classes A1 through A3, will be repaid on a pro rata basis, according to the Kroll Bond Rating Agency. The mezzanine and subordinate notes will repay investors sequentially, KBRA said.
United Wholesale Mortgage originated 25.8% of the mortgages in the pool, making it the originator with the largest portion of loans in the pool. Non-qualified loans are the majority of loans in the pool, 59.2%, while loans exempt from the Ability-to-Repay/Qualified Mortgage rule, represent 35.9% of the pool.
S&P Global Ratings noted that Nomura Securities International, J.P. Morgan Securities and Performance Trust Capital Partners are initial note purchasers on the deal.
On a weighted average (WA) basis, borrowers had a FICO score of 752, moderate leverage of 70.2%, and a debt-to-income ratio of 36.5%. Median annual income reached $289,794, with liquid reserves of $439,671, the rating agency said.
Underwriting examining 12-23 months of bank statements, account for 32.1%of the pool, while debt service coverage ratio underwriting accounts for 26.4%, KBRA said. Full documentation represents 24.1%, KBRA said.
A majority of the borrowers in the pool, 53.8%, are self-employed, KBRA said.
S&P also found that 280 loans, or 36.98% by pool balance, are investment property loans, the rating agency said. The rating agency applied an occupancy foreclosure frequency adjustment factor of 2.00x, the rating agency said.
Of the investment property loans, 46 are underwritten to the borrower's income, employment, or assets, while the rest averted the borrower's income and assets and used market rents or lease income, instead, to calculate a debt service coverage ratio.
The notes benefit from excess spread, and a 90-day stop advance feature, which prohibits the servicer from advancing any interest and principal on loans that are delinquent by 90 days or more.
KBRA assigns ratings of AAA to the A1 notes; AA+ to the A2 notes; A- to the A3 notes; and BBB, BB+ and B- to the M1, B1 and B2 notes, respectively. S&P assigns AAA to the A1 tranches; AA to the A2 notes; A to the A3 notes; and BBB, BB and B to classes M1, B1 and B2 notes, respectively.
