Investments

DBRS, S&P award AAA ratings to WinWaterÕ $250 million jumbo RMBS

Agencies join Kroll in awarding AAA ratings

Earlier on Thursday, Kroll Bond Rating Agency released its presale report for a $250 million jumbo residential mortgage-backed securitization from WinWater Home Mortgage. The offering, WIN 2014-1, is WinWater’s first securitization offering.

Kroll gave AAA ratings to the vast majority of the tranches in the jumbo RMBS. Now, DBRS and Standard & Poor’s have weighed in with similar sterling ratings.

DBRS and S&P cite the high average FICO scores of the borrowers in the pool as one of the main reasons for the quality of the ratings.

The securitization’s aggregate loan balance is $249,465,638 and it consists of a pool of 306 loans with an average FICO score of 753. The average loan balance is $815,247 and the average loan-to-value ratio is 71.19%.

In its presale report, DBRS noted that all of the 306 loans are current and that there have been no delinquencies since origination as a strength of the offering.

Both agencies noted the third-party diligence review that was conducted for the entire offering. “The third-party due diligence provider, from our list of reviewed providers, performed due diligence on 100% of the pool's loans, encompassing regulatory compliance, credit (underwriting) compliance, property valuations, and pay history reviews,” S&P’s report said. “The results are consistent with high-quality underwriting.”

The majority (64.7%) of the loans originated in California. The top three states make up 76.2% of the pool. Washington ranks second, at 8.1%, and Texas is third with 3.4%.

Four of the top five core-based statistical areas in the securitization are in California. Los Angeles-Long Beach-Santa Ana represents 19.6% of the pool, followed closely by San Francisco-Oakland-Fremont at 19.4% of the total. The rest of the top five are: San Jose-Sunnyvale-Santa Clara representing 8% of the pool, Seattle-Tacoma-Bellevue, Washington representing 7.1% and San Diego-Carlsbad-San Marcos, California representing 6.8%.

S&P noted, as did Kroll, that the geographic concentration of the loans is a cause for some concern. “We believe that the additional loss coverage required by our geographic concentration factor compensates for this risk,” S&P noted.

DBRS called out the limited securitization and performance history of WinWater as a challenge and mitigating factor. “WWHM was formed in July 2013 and is therefore a relatively new securitizer of prime jumbo loans with limited performance history,” DBRS said. “As a mitigant, third-party due diligence was conducted on 100% of the loans. DBRS also conducted an aggregator operational risk assessment on the WWHM conduit and deems it to be an acceptable aggregator.”

The top six loan originators of the deal are: JMAC Lending: 13.9%; RPM Mortgage: 12.6%; Opes Advisors: 9.9%; Guaranteed Rate: 7.7%; Paramount: 6.2%; Prime Lending: 5.9%.

Cenlar FSB services nearly all of the loans. PHH Mortgage Corp. services 0.9% of the loans and Cenlar services the remaining 99.1%. The master servicer and custodian is Wells Fargo.

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