American International Group Inc. is boosting up its presence in the private-label residential mortgage-backed securitization market.
Months after prime jumbo mortgage loans aggregated by AIG-owned conduits filled the collateral pools of at least two Credit Suisse First Boston Mortgage Securities Corp. securitizations, the insurer has launched its own program under the Pearl Street Mortgage Co. name.
The depositor filed an asset-backed securitizer report with the SEC on March 1, which included a copy of a third-party due diligence report regarding the loans in PSMC 2018-1 Trust. AIG Home Loan 1 LLC, AIG Home Loan 2 LLC, AIG Home Loan 3 LLC, AIG Home Loan 4 LLC and/or AIG Home Loan 5 LLC acquired the mortgages from third parties, the filing said.
AIG insurance units National Union Fire Insurance Co. of Pittsburgh Pa., American General Life Insurance Co., Variable Annuity Life Insurance Co., United States Life Insurance Co. in the City of New York and American Home Assurance Co. separately control the AIG Home Loan entities.
AIG reported holding net residential mortgages of nearly $5.40 billion as of Dec. 31, 2017, according to its most recent annual report, up from $3.83 billion on the same date in 2016. Commercial mortgages accounted for $28.60 billion of its $37.02 billion in mortgages and other loans receivable at year-end 2017.
A Kroll Bond Rating Agency presale report dated March 2 offers a considerable amount of additional context into the mortgages underlying PSMC 2018-1 as well as the deal's structure.
The rating agency said that the pool includes 726 30-year fixed-rate mortgages with an aggregate outstanding principal balance of $446.2 million that the AIG entities acquired from a range of originators led by HomeStreet Inc.'s HomeStreet Bank and New Penn Financial LLC. Loans sold by those two entities combined to account for 20.2% of the aggregate pool balance.
The characteristics of the underlying loans appear to be consistent with those associated with CSMC 2017-HL1 Trust and CSMC 2017-HL2 Trust, the Credit Suisse transactions populated with AIG-aggregated mortgages that closed June 30, 2017, and Oct. 27, 2017, respectively. The weighted average borrower FICO score of the loans backing PSMC 2018-1 is 774, one point below that of the loans in CSMC 2017-HL2 Trust. The weighted average original loan-to-value ratio is 73.4%, in line with the ratio for the loans that backed CSMC 2017-HL1 Trust.
The five AIG vehicles serve as sponsors, sellers and servicing administrators of PSMC 2018-1 Trust, Kroll Bond Rating Agency reported, and they will hold responsibility for curing any breaches of representations and warranties regarding the securitized loans.
Kroll Bond Rating Agency said that AIG's strategy in the asset class traces its roots to the 2013 formation of a residential mortgage lending group by AIG Asset Management (U.S.) LLC in connection with the United Guaranty Corp. private mortgage insurance business that the company then owned. When AIG sold United Guaranty in 2016 to Arch Capital Group Ltd., the Houston-based residential mortgage lending group remained.
From inception to date, the residential mortgage lending group has acquired more than 10,000 loans with an aggregate balance in excess of $5 billion, Kroll Bond Rating Agency said, noting that most of the production occurred within the prime jumbo area.
"Notwithstanding its relatively short track record as a loan aggregator, [Kroll Bond Rating Agency] found the company's mortgage acquisitions operations to be appropriately structured and essentially consistent with industry standards," the rating agency observed in its presale report. It based its opinion on an onsite operational assessment of AIG Asset Management (U.S.).
A review of S&P Global Market Intelligence's insurance investments data found that bonds issued by CSMC 2017-HL1 Trust proved popular among AIG's units and certain of their peers. National Union Fire and American Home Assurance together accounted for $78.9 million of the at least $232.6 million in acquisitions of the applicable certificates by U.S. property and casualty and life and health insurers in June 2017.
