Chimera Investment Corporation is sponsoring a mortgage-backed securitization deal, the CIM Trust 2021-R6, that will fund home loans from older vintages that have much stronger credit characteristics than previous collateral pools.
Some of the underlying home loans in the $353.7 million collateral pool are reperforming – they have overcome performance issues and are back on track.
Chimera Investment Corporation is sponsoring the transaction, and beforehand had issued 46 securitizations of seasoned loans from the CIM Trust platform since 2014, according to DBRS Morningstar. All of those transactions were secured by subprime, reperforming or nonperforming home loans.
Citigroup Global Markets is the initial purchaser of the notes, and the deal’s capital structure will follow a sequential-pay cashflow structure. Principal proceeds can be used to cover interest shortfalls on the Class A1 and M1 notes, according to DBRS.
In the CIM Trust 2021-R6, 97.8% of the pool is current, and 1.8% is 30 days delinquent as defined by the Mortgage Bankers Association methods, DBRS said. About 80.2% have steered clear of a 30-day delinquency in the past 12 months, while 71.6% had avoided such a delinquency in the past 24 months.
Also, the amount of borrowers in bankruptcy is 0.4%.
The loans in the pool are seasoned by about 184 months, and borrowers have been generally willing to stay in their homes throughout the several economic cycles that have ensued, even the Great Recession from 2008 to 2010, DBRS said.
Fay Servicing is on the transaction, and had about seven home loans subject to active coronavirus-related forbearance plans as of August 31, the deal’s cutoff date, DBRS said.
DBRS expects to assign ‘AAA’ ratings to classes A1, A1-A and A1-B; plus ‘AA’ and ‘A’ to classes M1 and M2.
