Fitch Assigns Final Ratings to COLT 2022-1.
ENPNewswire-January 28, 2022--Fitch Assigns Final Ratings to COLT 2022-1
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Release date- 27012022 - Fitch Ratings assigns final ratings to the residential mortgage-backed certificates to be issued by COLT 2022-1 Mortgage Loan Trust (COLT 2022-1).
RATING ACTIONS
Entity / Debt
Rating
Prior
COLT 2022-1
A-1
LT
AAAsf
New Rating
AAA(EXP)sf
A-2
LT
AAsf
New Rating
AA(EXP)sf
A-3
LT
Asf
New Rating
A(EXP)sf
M-1
LT
BBBsf
New Rating
BBB(EXP)sf
B-1
LT
BBsf
New Rating
BB(EXP)sf
B-2
LT
Bsf
New Rating
B(EXP)sf
B-3A
LT
NRsf
New Rating
NR(EXP)sf
B-3B
LT
NRsf
New Rating
NR(EXP)sf
A-IO-S
LT
NRsf
New Rating
NR(EXP)sf
Page
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VIEW ADDITIONAL RATING DETAILS
Transaction Summary
The certificates are supported by 656 loans with a total balance of approximately $347 million as of the cutoff date. Loans in the pool were originated by multiple originators and aggregated by Hudson Americas L.P. A majority of loans are currently, or will be, serviced by Select Portfolio Servicing, Inc., with a smaller portion serviced by Northpointe Bank.
KEY RATING DRIVERS
Updated Sustainable Home Prices (Negative): Due to Fitch's updated view on sustainable home prices, Fitch views the home price values of this pool as 10.3% above a long-term sustainable level (vs. 10.6% on a national level). Underlying fundamentals are not keeping pace with the growth in prices, which is a result of a supply/demand imbalance driven by low inventory, low mortgage rates and new buyers entering the market. These trends have led to significant home price increases over the past year, with home prices rising 19.1% yoy nationally as of October 2021.
Non-QM Credit Quality (Negative): The collateral consists of 656 loans, totaling $347 million, and seasoned approximately five months in aggregate (as calculated as the difference between origination date and cutoff date). The borrowers have a moderate credit profile (738 model FICO and 42% model debt to income ratio [DTI]) and leverage (79% sustainable loan to value ratio [LTV] and 72% combined LTV).
The pool consists of 50.9% of loans where the borrower maintains a primary residence, while 49.1% comprise an investor property or second home. Additionally, 14.2% of the loans were originated through a retail channel and 57.2% are non-qualified mortgage (non-QM); for the remainder, the QM rule does not apply.
Loan Documentation (Negative): Approximately 85.2% of the pool were underwritten to less than full documentation, and 44% were underwritten to a 12- or 24-month bank statement program for verifying income, which is not consistent with Appendix Q standards and Fitch's view of a full documentation program.
A key distinction between this pool and legacy Alt-A loans is that these loans adhere to underwriting and documentation standards required under the Consumer Financial Protections Bureau's Ability to Repay Rule (ATR, the Rule), which reduces the risk of borrower default arising from lack of affordability, misrepresentation or other operational quality risks due to rigor of the Rule's...
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