A fast 2020 start for RMBS: four deals totaling $2B

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Residential mortgage-backed securitizations are off to a brisk 2020 start – in both agency and non-agency deals.

According to presale reports, Fannie Mae has already launched its first securities offering of the year with a $1.03 billion pool of certificates on it Connecticut Avenue credit-risk transfer platform.

Meanwhile, private-label RMBS issuers have sped out of the gate with new deals sponsored by Caliber Home Loans, New Residential Investment Corp. and Onslow Bay Financial.

Fannie Mae

The Fannie Mae Connecticut Avenue Securities Trust 2020-R01 transaction will refernce a $29 billion pool of qualified home mortgages acquired by the GSE between October 2018 and August 2019. This is the ninth risk-transfer transaction in the notes were issued under a real estate mortgage investment conduit format rather than as general senior-secured obligations of the GSE – providing more protection to investors by securing the certificates to a bankruptcy-remote trust.

Using the REMIC format also allows a wider base of investors into the pool, such as real estate investment trusts.

Fitch Ratings assigned a BBB- rating to the $303.09 million Class 1M-1 reference certificates, while Kroll Bond Rating Agency assigned a BBB+ to the class.

In 2019, Fannie sponsored nine Connecticut Avenue Series transactions totaling $9.13 billion.


Caliber Home Loans continues to ramp up the share of qualified mortgages and stronger-credit borrowers in its platform with its COLT 2020-1 Mortgage Loan Trust transaction.

Nearly all the loans have full documentation, and about 41% of the loans in the pool are classified as higher-priced QM and safe-harbor QM, which meet the Consumer Financial Protection Bureau standards for loans that meet its ability-to-repay rules.

Also, nearly 47% of the pool by unpaid principal balance were from Caliber’s “Elite Access” borrower tier, which has homeowners with a prime modeled pool FICO of 754.

But more than 34% of the borrowers in the pool have debt-to-income ratios exceeding 43% (the maximum QM threshold),

Caliber is owned by affiliates of LSRMF Acquisitions II, a sponsoring entity of the securitization.

Nomura is the lead underwriter of the COLT transaction.

Onslow Bay

Onslow Bay, an affiliate of Annaly Capital Management, is sponsoring its first 2020 deal in a $374.6 million bond sale backed by prime, 30-year first-lien mortgages of non-owner occupied residential investor properties.

The properties in OBX 2020-INV1 Trust include one-to-four family residential properties, single-family and attached planned-unit developments and townhomes/condominiums. The average balance is $355,079 with average rates of 4.76%.

The pool has a weighted-average seasoning of six months.

Onslow does not originate mortgages itself; the deal sponsor purchased nearly 36% of the loans by balance from Quicken Loans, 25.6% from Loan Depot and the remainder from various originators.

All of the loans were underwritten to meet Freddie Mac and Fannie Mae guidelines, but are not subject to Truth In Lending Act compliance since they are business-purpose loans.

Moody’s Investors Service and Kroll Bond Rating Agency have assigned preliminary triple-A ratings to nearly 20 classes of senior and super senior notes.

New Residential

The Caliber and Onslow Bay deals this week follows last week’s launch of New Residential’s $278.5 million pool of 75 non-prime, non-qualified mortgages. The New Residential Mortgage Loan Trust 2020-NQM1 deal has senior-note triple-A ratings from Kroll and Fitch Ratings for the Class A-1 tranche totaling $2015.1 million.

Those notes benefit from 26.35% credit enhancement.

New Residential is a publicly traded REIT (NYSE: NREZ). All of the loans were originated and are serviced by NewRez LLZ, an affiliate of the REIT, and were underwritten with alternative or non-traditional income documentation, according to presale reports.

New Residential, which nearly doubled its origination levels in 2019, tapped the RMBS market for nearly $10 billion last year across 18 completed securitizations.

This article originally appeared in Asset Securitization Report.
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RMBS prime jumbo RMBS Qualified residential mortgages Qualified Mortgages Credit risk transfers Fannie Mae Freddie Mac Onslow Bay Financial New Residential Investment Corp. Caliber Home Loans