Two Harbors Investment Corp. is preparing its second residential mortgage securitization of the year, the $287.77 million Agate Bay Mortgage Trust 2015-2.
The loans backing the deal are similar in strength to those of Two Harbors’ previous prime jumbo transactions, according to Standard & Poor’s, with an average loan balance of 736,000, weighted average FICO of 765, weighted average loan to value ratio of 65.1% and seasoning of two months.
There are some minor exceptions: S&P classifies four of the loans (approximately 0.7% of the pool) as as lacking documentation of the borrower’s employment. It has applied an additional credit enhancement factor of 3.1x to those loans.
There is one foreign borrower in the pool representing 0.2% of the balance. S&P applied a 1.5x factor adjustment to this loan’s loss-coverage calculation to reflect practical difficulties that lenders may experience in pursuing collections and recoveries when dealing with nonresident borrowers in default.
All of the loans are subject to new ability to repay rules and qualify for safe harbor status.
S&P has assigned AAA’ ratings to the senior notes to be issued by the trust.
Cenlar is the servicer and Wells Fargo Bank is the master servicer.