Imperial Fund Mortgage Trust is preparing to tap the capital markets for $408.8 million in residential mortgage-backed securities (RMBS), in a deal where A&D Mortgage plays an enormous role.
Called IMPRL 2022-NQM2, the transaction is largely secured by a portfolio of non-qualified (non-QM) loans (59.3%), and 40.6% of the mortgages in the pool were underwritten following Ability to Repay Rules. Barclays is the lead underwriter on the transaction.
A&D Mortgage originated a vast majority of the pool, 96.7%, and the company plays a number of other roles on the film, such as servicer and provider of the representation and warranty. The trust will issue notes through about 10 classes of notes, through a subordinate structure.
Fitch expects to assign ratings of ‘AAA’ to the $271.2 million, A-1 class, plus ratings that range from ‘AAA’ on the $40.6 million A-2 notes to ‘BBB-‘ on the $19 million M-1 class of notes.
Fitch noted that a portfolio of loans that are of non-prime quality secures the deal. They are of mixed quality from a credit standpoint, and all of them are fixed-rate. Thirty-year, fixed-rate and fully amortizing loans comprise virtually all of the collateral, at 92.7%. The rest of the portfolio is a mix of interest-only loans with terms ranging from 40 to 15-year terms.
If any borrower profile emerges from the pre-sale report, it is of well-qualified mortgage holders, a slight majority of whom are self-employed, who intend to use the property as a primary residence. Borrowers in the pool have relatively strong credit profiles, as Fitch has determined a weighted average (WA) model FICO score of 735. Borrowers also have a debt-to-income ratio of 43.5%, and an original combined loan-to-value (LTV) ratio of 72.5%, which translates to a sustainable LTV ratio of 80.4%.
Mortgages where the borrower is using the property as a primary residence makes up a slight majority of the pool, 57.5%; while 47.5% of the loans are investor properties or second homes, the rating agency said. Of the 904 loans in the collateral pool, just 55 of them have balances that exceed $1 million, with the largest of that group being $3.9 million.
Other pool characteristics include an average loan balance of $452,284, seasoning of two months at closing. On a WA basis the pool has liquid reserves of $284,041 and a coupon of 4.7%. Single-family homes make up a substantial majority of the mortgaged property types, 78.7%, while condos and multifamily loans comprise 14.9% and 6% of the pool, respectively.
