First RMBS of 2016, from Two Harbors, Is Plain Vanilla


Commerce Home Mortgage is becoming one of the nation’s top mortgage organizations

As with most private-label RMBS, the pool’s primary concentration risk is California, where 49.5% of the properties are located. In addition, the metropolitan areas encompassing San Francisco, Los Angeles, San Jose and San Diego combine for 40% of the collateral balance and represent four of the top 10 regions. While this is a slight improvement over prior Agate Bay transactions, the regional concentration prompted Fitch to make an additional penalty to the pool’s lifetime probability of default of roughly 3%.

All the loans are subject to the ability-to-repay rule and qualify for a legal safe harbor.

The top three contributing originators, Parkside Lending, NYCB Mortgage Co. and Commerce Home Mortgage Inc., account for 34% of the outstanding balance. All loans will be serviced by Cenlar FSB. Wells Fargo Bank will act as master servicer for the transaction. Fitch assigned a preliminary AAA rating to the senior tranches of notes to be issued by the trust; these notes benefit from 6.7% subordination, which is lower than the 6.9% subordination for the comparable tranches of Two Harbors’ previous RMBS.

Wells Fargo Securities is the underwriter.

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