One of 2014’s new players in the prime jumbo residential mortgage-backed securitization market is back for more in 2015. WinWater Home Mortgage, which brought its first jumbo RMBS to market in June of last year, is prepping its first jumbo RMBS of 2015.
WinWater Mortgage Loan Trust 2015-1 is backed by 389 loans with a total principal balance of $283,880,988. The loans carry an average balance of $729,771, a weighted average original FICO score of 766 and a weighted average loan-to-value ratio of 70.1%.
Fitch Ratings, DBRS and Kroll Bond Rating Agency each weighed in on the offering and awarded AAA ratings to the largest of the tranches.
All three agencies cited the high quality of the underlying borrowers and loans as a strength of the deal.
“The credit quality of the borrowers in WIN 2015-1 is strong, as evidenced by weighted average original and current credit scores of 766 and 761,” KBRA said in its report. “The WA annual income and liquid reserves are $319,669 and $337,031, respectively, and most loans bear prudent debt-to-income ratios with a WA DTI of 32.2%. Additionally, income, employment and assets for the pool’s borrowers were generally well-documented and verified.”
On the other hand, WinWater’s relative inexperience as a mortgage aggregator is a potential concern for each agency.
“WinWater Home Mortgage LLC was formed in January 2013 and began locking loans later that year,” Fitch wrote in its report. “Fitch conducted a review of WinWater’s platform in January 2014 and believes that WinWater meets the industry standards to source prime jumbo mortgage loans. While WinWater has an overall assessment of average, the limited operating history and performance track record was considered by the agency in its assessment.”
WinWater,which refers to itself as “a residential mortgage conduit aggregator focused on opportunities in the non-agency jumbo sector,” brought three securitizations to market in 2014. WinWater’s last offering of 2014 was backed by a pool of 356 loans with a total principal balance of $263,678,317. The offering received AAA ratings from DBRS.
When compared to WinWater’s three previous offerings, WIN 2015-1 is largest in terms of total pool balance and number of loans, but the average loan size is the smallest for WinWater so far.
WIN 2015-1 also has the lowest weighted average loan-to-value ratio (70.1%) of any of WinWater’s other offerings.
DBRS also noted the historical performance of WinWater’s previous offerings as a positive of the deal. According to DBRS’ report, 100% of the loans in WinWater’s previous securitizations were current as of Jan. 20.
As with WinWater’s previous offerings, the largest section of the loans in WIN 2015-1 is located in California. But the percentage of California-based loans has fallen with each WinWater offering. In WIN 2014-1, 64.7% of the loans were from California. In WIN 2014-2, 63.2% of the loans were from California. In WIN 2014-3, 49.2% of the loans were from California.
And in WIN 2015-1, 47.3% of the loans are from California. Despite the shrinking California concentration, all three agencies note the geographic breakdown of the loans as a potential concern.
“The top three metropolitan statistical areas account for approximately 32% and are all concentrated in California,” Fitch noted. “The largest concentration at the MSA level is in Los Angeles (12.8%) followed by San Francisco (9.9%) and San Jose (9.1%). To account for the pool’s geographic concentration, Fitch applied a penalty of 1.01x to its lifetime default expectations.”
Interesting to note among the originators in WIN 2015-1 is Ditech Mortgage Corp., which returned to the market in May.
The new ditech was formed from the assets from the GMACRescap estate, purchased by Walter Investment Management Corp. (WAC)/Greentree Originations in November 2012.
When the company announced its plans to come back into the market, it revealed its new business plan, which entailed a three-pronged approach.
Ditech is planning to build business segments in direct consumer lending, retail lending and correspondent lending with its "600-plus institutional partners," according to company spokesman Richard Smith.
Ditech-originated loans make up 8.6% of the WIN 2015-1 pool, which makes in the second most prolific originator. Prospect Mortgage ranks first, with 9.1% of the pool.
“The representation, warranty, and enforcement mechanism framework is viewed positively by the agency as it is consistent with Fitch’s criteria,” Fitch noted. “
“However, the financial condition profile of most of the underlying lenders who will be providing the reps as well as WinWater as backstop for some lenders, resulted in an adjustment to Fitch’s loss expectations to account for the possibility of slightly higher defaults and losses arising from the counterparties’ inability to repurchase loans due to breaches,” Fitch continued. “The adjustment considered the 100% due diligence review as well as the high quality of the mortgage loans.”