The next residential mortgage securitization co-sponsored by Provident Funding Associates may be the Cadillac of post-crisis RMBS deals.
The $258.42 million Provident Funding Mortgage Trust 2020-F1 is a pool of 649 agency-compliant loans that Kroll Bond Rating Agency describes as one of the most high-end credit quality deal of any RMBS transaction that has closed in the past decade.
The nonbank lender’s deal is “somewhat unique” in that it is backed solely by 15-year fixed-rate conforming mortgages, issued to a coterie of “underlying borrowers [who] on average are of notably high credit quality,” according to a presale report published Monday by Kroll.
“PFMT 2020-F1 comprises loans which have the highest [weighted average] FICO score as well as the lowest WA original CLTV of any of the more than 400 RMBS 2.0 transactions issued to date," the report stated.
Borrowers have an average FICO score of 787, with annual incomes of $210,039, monthly free cash flow of $6,846 and liquid reserves of $80,616.
The loans carry average balances of $398,188 with 2.52% weighted average coupons. Nearly 72% were refinance loans, and 26.6% were cash out loans. California residences make up 24.9% of the pool.
The loans will back the issuance of 10 classes of notes, according to Kroll, including four super-senior tranches with preliminary AAA ratings. Two of the super-senior tranches make up 90% of the collateral pool and are supported by 10% credit enhancement: Class A-3 notes totaling $174.4 million and an A-4 tranche of $58.1 million in notes.
Amherst Pierpont Securities is structuring lead manager and Jefferies LLC is co-lead manager.
The securitization is the third MBS deal for Provident Associates, a nonbank lender. Colorado Federal Savings Bank is a co-sponsor of the deal.
