Shellpoint, the home lender founded by mortgage-bond pioneer Lewis Ranieri, is lining up its second residentail mortgage backed securities deal of 2013.
Kroll Bond Ratings has assigned ratings to the deal, Shellpoint Asset Funding Trust 2013-2.
The $308 million jumbo prime RMBS transaction is structured with six classes of mortgage pass-through certificates.
The class A notes are structured with 7.90% credit enhancement and are rated ‘AAA’; the class B-1 notes are structured with 5.30% credit enhancement and are rated ‘AA’; the class B-2 notes are rated ‘A’ and structured with 3.90% credit enhancement; the class B-3 notes are rated ‘BBB’ and structured with 2.90% credit enhancement; and the class B-4 notes are structured with 1.90% credit enhancement and are rated ‘BB’.
KBRA will not rate the class B-5 notes.
The mortgage pool backing SAFT 2013-2 is made up of 431 first-lien mortgage loans with an aggregate principal balance of $308,637,045 as of the cut-off date.
The loans in the pool are nearly all fixed-rate mortgages, 426 loans of which have 30-year maturities and two of which have 15-year maturities. The remaining three loans are hybrid adjustable-rate mortgages (ARMs; two 5/1, one 10/1). There are also eleven 10-year interest-only loans in the pool.
The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the weighted average (WA) loan-to-value (LTV) ratio (65%) and combined LTV (CLTV; 65%).
The original WA credit score of the mortgage pool is 773. However, according to the KBRA presale report, 1.2% of the loans were originated to foreign nationals with no credit score.
In June, Shellpoint restructured its first RMBS deal on the back of investor requests. Market reports indicated that investors were looking for extra credit support to mitigate concerns over loans originated for foreign borrowers.
The structure was split into a super senior and support senior note structure, where the credit enhancement on the super senior was 20% and the support on the A3 was 10.10%.
Foreign national assets in U.S. RMBS deals aren’t a new thing. Redwood Trust for example allows for these assets to be included in their RMBS mortgage pools but at a smaller percentage; and those borrowers included do have credit scores.