Caliber Home Loans is marketing the first mortgage-backed residential home bond sale in 2021 with its newest pool of nonprime loans, according to Fitch Ratings.
The COLT 2021-1R Mortgage Loan Trust is a $ 153.65 million transaction of 10 tranches of debt backed by 268 first and second lien mortgage loans from Caliber.
Much of the loans (61% of the pool) do not qualify under the Consumer Financial Protection Bureau's repayment standards, largely due to borrowers' debt-to-income ratios greater than 43%.
In addition, 12.1% of the mortgages have changed and 13.1% are considered “dirty electricity” with a crime reported in the past 24 months.
However, the pool's borrower base has an average FICO of 728 and a current loan-to-value ratio of 74.7%, offsetting the risk of an unsafe haven designation for much of the pool. About 26% of the loans meet the QM standards.
Another 12% qualify as “higher priced”, which means that the loans are considered QM, but are not a safe haven as they have APRs of more than 1.5% of the main offer rate (first liens). Fitch Ratings noted that the ATR compliance of these loans may be questionable by borrowers.
Notably, 64 of the borrowers in the pool have applied for COVID-19 payment relief plans, 13 of which remain lenient and are being treated as criminals. All but five resumed loans from aid schemes have regained their current status.
Fitch believes the pool's overall crime rate is 8% above average. Such criminal loans have a 95% probability of default in Fitch's loss models. Master servicer Wells Fargo will provide P&I for criminal accounts six months in advance, the report adds.
The transaction's capital stack includes an A-1 tranche of $ 153.65 million with preliminary AAA ratings from Fitch. Fitch notes that AAA ratings for non-Prime RMBS transactions are reserved only for issuers with a track record of at least three years, or that only acquire mortgages from sellers with their own solid origins background.