RMBS

Ratings agencies describe a "notable" concentration of alternative-income mortgages in the nonforming pool that were underwritten by Ellington-affiliated LendSure.

The deal is similar in size and credit metrics to Caliber’s January private-label deal, albeit with a slightly higher borrower WA FICO (742) and smaller share of dirty-current loans.

However, the share of new impairments increased, likely as a result of the high concentration of these loans given to self-employed borrowers.

DLJ and Nomura Corporate are sponsoring portfolios of mostly previously modified, well-seasoned mortgages that have at least two years of clean-current payment status.

According to a presale report from Moody’s Investors Service, Home Re 2021-1 is the fourth deal by the issuer that will sell floating-rate notes (pegged to one-month Libor) that are backed by a reference pool of mostly prime mortgages.

The weighted average seasoning is 34 months, well above that of prior Invictus-sponsored deals on the Verus shelf that are typically new originations under 10 months.

The transaction features a pool of non-qualified mortgages with a higher-than-average delinquency rate driven by COVID-19 relief plans.

The Swiss banking giant is expected to set aside $850 million for litigation costs stemming from a long-running dispute with bond issuer over the sale of mortgage-backed securities.

Deals, trends and research in structured finance and asset-backed securities for the week of Dec. 18-23

The availability of financing hasn’t been an issue to date, but it still could be.