Platform Funding and Paratus AMC (formerly known as GMAC-RFC) are securitizing a £1.85 billion ($2.84 billion) pool of U.K. residential mortgage loans originated in 2007 and 2007, according to Standard & Poor’s
Warwick Finance Residential Mortgages Number Two is backed by non-conforming pool of residential mortgages; 48.3% are self-certified loans, which have historically exhibited poor performance relative to other mortgage loans, according to S&P.
The pool also includes delinquent loans: 16.97% are more than one month behind on payments and 4.22% have delinquent payments tacked onto the loan balance (capitalized arrears).
However the loans in the pool are more than those in other S&P-rated, nonconforming RMBS. On average borrowers have made 8.5 years worth of payments and have an average remaining term of 13.77 years. More seasoned non-conforming pools have a better risk profile relative to pools that are less seasoned. The loans have an average loan-to-value ratio of 69.85%.
S&P assigned a preliminary ‘AAA’ rating to the class A notes benefitting from 26.80% credit enhancement; ‘AA’ rating to the class B notes with 21.40% credit enhancement; ‘A+’ rating to the class C notes with 17.40% credit enhancement; ‘A’ to the class D notes with 13.90% credit enhancement and ‘A-’ to the class E notes with 11.10% credit enhancement. All of the bonds mature on September 2049.
Merrill Lynch, Morgan Stanley, Royal Bank of Scotland and Citibank and re lead managersl.