Two new reperforming mortgage securitizations have been launched into the market by DLJ Mortgage Capital and Nomura Corporate Funding.
DLJ is sponsoring the $423.34 million CSMC 2021-RPL2, with a collateral pool of 2,370 seasoned performing and reperforming loans. All of the loans are current, with 76.5% having had prior modifications. Approximately 74.1% of the loans have clean-current payment histories over the past two years.
The deal has a weaker borrower credit profile than peer MBS RPL transactions, with a weighted average FICO of 701 and a 42% debt-to-income ratio. According to a presale report from Fitch Ratings, the transaction is also slightly weaker from a risk perspective “as there is less excess spread available to the classes [of notes] compared to other structures.”
Fitch notes 232 loans, or 13.1% of the pool, are in a coronavirus relief plan.
Fitch has assigned preliminary AAA ratings to a $344.81 million tranche of senior notes benefiting from 18.55% credit enhancement.
Nomura is sponsoring the $312.9 million Mill City Mortgage Loan Trust 2021-NMR1, another well-seasoned (average 149 months) pool of 2,579 loans of which 85.2% are current. Another 11.5% are delinquent between 30 and 90 days, and 3% are involved in bankruptcy filings.
Modified loans make up 75.2% of the portfolio; more than 4 in 5 of those loans were modified beyond two years ago. None of the loans are considered qualified mortgages under the Consumer Financial Protection Bureau’s ability-to-repay standard due to their age.
The average loan balance is $121,338, with a weighted average coupon of 4.5% for borrowers with an average FICO of 663. The mortgages have a combined loan-to-value ratio of 84.7%.
Both S&P Global Ratings and DBRS Morningstar have assigned early AAA ratings to the senior notes in the deal.
The transactions follows an earlier RPL/NPL deals that priced this month from Lone Star Funds.
