NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage pass-through certificates from LSRMF Acquisitions I, LLC’s first non-prime securitization of 2017, COLT Mortgage Loan Trust 2017-1 (COLT 2017-1). COLT 2017-1 is the sixth non-prime securitization from LSRMF Acquisitions I, LLC since its first post-crisis non-prime securitization in 2015. COLT 2017-1 is also the largest securitization of non-prime assets to-date; with over $400 million in collateral, it is nearly double the size of the next largest issuance, COLT 2016-3.
The COLT 2017-1 mortgage pool comprises 853 first-lien mortgage loans with an aggregate scheduled principal balance of $402.6 million as of the cut-off date. KBRA considers the underlying mortgage loans to have certain non-prime characteristics including borrowers with prior credit events (23.4%), loans using alternative income documentation sources such as bank statements (21.7%), investor/business-purpose loans (1.1%), and/or loans to foreign nationals (0.4%). A large portion of the pool is designated as either Non-QM (69.3%) or QM-Rebuttable Presumption (26.1%).
The underlying collateral consists of 74.1% hybrid adjustable-rate mortgages (ARMs), with initial fixed-rate payment periods of one (9.9%), three (7.8%), five (54.7%), seven (1.5%) or ten (0.2%) years, of which 2.8% of these loans possess a 10-year interest-only (IO) period. The remainder of the collateral pool consists of 25.9% fully-amortizing 30-year fixed rate mortgages (FRMs). Loans in the pool exhibit substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 76.1% and WA original CLTV of 76.1%, which are comparable to CLTVs in KBRA-rated prime jumbo deals in 2016. The weighted average non-zero original credit score is 713.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss Model, an examination of the results from third-party loan file due diligence, cash flow modeling, analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
For complete details on the analysis, please see our Pre-Sale Report, COLT Mortgage Loan Trust 2017-1, which was published on April 21, 2017 on www.kbra.com.
To view the report, please click here.
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are contained in the offering documents when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled COLT Mortgage Loan Trust 2017-1 Representations and Warranties Disclosure.
Related Publications and Articles: (available at www.kbra.com)
Residential Mortgage Default and Loss Model, published January 16, 2015
U.S. RMBS Rating Methodology for Assessing Non-QM Risk, published April 22, 2014
U.S. RMBS Rating Methodology, published July 7, 2016
Credit Evolution – Non-Prime Isn’t Yesterday’s Subprime September 9, 2016
KBRA Expects TRID to Have Limited Impact on RMBS Enhancement Levels April 13, 2016
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).
