Standard & Poor’s has assigned preliminary ratings ranging from its highest rating, triple-Asf, to a speculative-grade single-Bsf to the deal, National Mortgage Loan Trust 2013-A. The deal also includes two unrated subordinate tranches.
The transaction has 11 tranches of modifiable and exchangeable certificates, a shifting-interest structure and more than 8% credit enhancement. There are three senior tranches, including a notional interest-only tranche. Also there are eight subordinate tranches, two of which are notional IO classes.
Residential mortgages on one-to-four family residences, condominiums, cooperatives and planned unit developments with more than 10 years of seasoning back the bonds. The loans have so-called alternative-A credit characteristics such as low or missing documentation.
The loans come from former Structured Asset Securities Corp., a securities issuance vehicle that originated with the now-defunct Lehman Brothers entity and its Aurora affiliate, the latter of which has since exited the mortgage origination business. There are 11 servicers but CitiMortgage services most of the deal.
Close to 40% of the pool consists of cash-out refinance loans. The loan pool has an estimated weighted average current loan-to-value ratio below 50%.
Some loans in the pool have had 30-day delinquencies in the past 12 months, but almost 88% of the loans have been current for 24 months based on Mortgage Bankers Association pay history. S&P finds this comparable to other recent seasoned RMBS such as Springleaf Mortgage Loan Trust 2013-3.
The deal has geographic concentrations in two metropolitan statistical areas, New York and San Francisco. These concentrations are above limits in S&P’s Loan Evaluation and Estimate of Loss System and add to the ratings agency’s loss expectations for the deal.
An S&P LEVELS analysis of valuations used to analyze adjusted LTV ratios also found a slight percentage variation compared to what the sponsor disclosed in marketing documents and contributed to the ratings agency’s loss expectations for the deal.
S&P additionally accounted for modifications in a portion of the collateral pool in its loss expectations.
Nationstar bears a rating S&P indicates means it may have financial difficulty in meeting repurchase claims for a representation and warranty breach as the deal’s only R&W provider. S&P increased its loss expectations for tranches with higher ratings to account for this risk.