Cerebrus Capital Management is planning its third securitization of seasoned, re-performing residential mortgages, according to a presale report from Fitch Ratings.
The $814 million Towd Point Mortgage Trust (TPMT) 2015-3 is backed by 4,239 peak-vintage loans that have all been modified at least once since origination, but are now current. Nearly 94% of the loans have 84 months of clean pay history, while the remaining 6% are at least 36 months post-delinquency.
Bank of America Merrill Lynch and J.P. Morgan are the lead underwriters on the deal, while Credit Suisse and Wells Fargo are serving as co-managers.
Fitch has assigned its triple-A rating to the senior, $530.4 million class A1 notes and its double-A rating to the $59.8 million class A2 notes, which benefit from 34.85% and 27.5% credit enhancement, respectively. All of the notes reach final maturity in March 2054.
Fitch attributes its ratings to the long-term clean pay history of the loans; however, it cites 406 loans graded D’ as a risk factor of the transaction. A D’ grade indicates that the loans either had prepayment penalties that violated state regulations or had HUD1 Settlement Statement exceptions. Loans of this type can be deemed high cost, and Fitch assumes a loss severity of 100%.
Furthermore, non-interest-bearing deferred principal amounts totaling $1.1 million, or 0.13% of the pool, are outstanding on 53 loans. Fitch included the outstanding amounts in its calculations of the borrowers’ loan-to-value (LTV) ratio, resulting in higher leverage values.
The latest deal follows TPMT 2015-1 and TMPT 2015-2 which were completed in January and May, respectively. TPMT 2015-3 is the only series in which 100% of the loans are “clean current,” meaning that all payments have been made on-time for the past 24 months. Approximately 16.3% of the loans in TMPT 2015-1 and 19.5% of the loans in TMPT 2015-2 were considered to be “dirty current,” or recently delinquent but now making payments.
The deal is expected to price this week and settle on July 30.
