Angel Oak Mortgage Trust plans $ 590 million MBS deal

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With a small chunk of Libor-linked collateral, the Angel Oak Mortgage Trust, 2021-6 is preparing to issue around $ 590 million in mortgage-backed securities to investors.

The originators of Angel Oak, made up of Angel Oak Home Loans LLC and Angel Oak Mortgage Solutions, provided the home loans, along with third-party originators who issued less than 10% of the pool’s loans, according to Fitch Ratings and Kroll Bond Rating Agencies. .

About 73.9% of the underlying real estate loans are designated as non-qualified mortgages and 26.1% are investment property, according to Fitch Ratings. As for the pool’s Libor exposure, three loans have adjustable rate mortgages referencing one-year Libor. However, the certificates offered to investors are at a fixed rate and capped at the weighted average net coupon.

According to Fitch, about 87% of the pool’s loans were taken from borrowers with incomplete documentation. Of this group, Fitch estimates that 63.9% were taken out on a 12-24 month bank statement to verify income, which Fitch says is not up to Schedule Q standards and its own. vision of what constitutes a comprehensive documentation program.

About 1,176 loans are in the collateral pool, and seasoned for about six months. KBRA noted that in a potential negative credit, the originators relied on alternative or non-traditional income documents. KBRA also noted that the pool’s moderate ratio of loans from investment property was a potential credit weakness.

The KBRA has taken several notes on Debt Service Coverage Ratio (DSCR) loans in collateral. They represent 18.6% of the pool and are the largest subset of investor loans in the pool, are typically qualified using a ratio of the borrower’s actual income to certain debt service payments, and are not generally not subject to the repayment capacity rule. The DSCR demonstrates strong borrower equity with a Weighted Average (WA), Initial Combined Loan to Value Ratio (OCLTV) of 67.4%, which combines mortgages and credit card debt. They also have an original NZWA score of 747.

The entire investor population within the submitted pool has a comparable risk profile with an initial NZWA score of 748 and WA OLTV / OCLTV of 67%.

California was the state with the largest concentration of loans in the pool, 40.3%. Los Angeles, with 19.6% of the pool, is the largest MSA in the pool.


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