A subsidiary of Chimera Investment Corp. has just closed a $268.7 million RMBS, according to a private placement memorandum obtained from a market source.
The deal, called CIM Trust 2015-1EC, was arranged by Credit Suisse.
Neither the underwriter nor Chimera returned requests for comment.
A good portion of the mortgages backing the deal are reperforming, with 40.7% of the pool having been modified after the borrower suffered "financial distress," the document said. The servicer on the deal is Select Portfolio Servicing.
But the weighted average updated loan-to-value ratio is 68.29%, meaning borrowers have an ample cushion of equity in their properties.
The average updated credit score of the borrowers is 631.
The deal consists of a number of tranches, all unrated. These include 13 classes of initial exchangeable notes that are senior, including ten interest-only notes, which tend to be riskier than those that pay principal and interest.
The legal final maturity date of all the tranches is April 2055. The closing date was April 2.
The interest rates on the mortgages span a wide range in the pool, from 1.7% to 15.67%. The weighted average rate is 8.163%. The loans, however, are not all fixed-rate. Some 61.29% are fixed-rate loans, 27.07% adjustable-rate, 11.64% step-rate, 3.76% balloon mortgages — whose principal is paid in a large lump sum at maturity, and 2.34% are simple interest loan, which carry an interest rate that is calculated daily.
The average unpaid balance is $55,614.
The notes issued by CIM Trust 2015-1EC pay a floating rate.
The mortgage interest rate spans a wide range in the pool from 1.7% to 15.67%. The weighted average is 8.163%.
Georgia is the most represented state in the pool, which accounts for 8.23% by loan volume.