Fitch Assigns Expected Ratings To COLT 2022-2

COLT 2022-2 is a pool of 590 loans with a total balance of approximately $411 million as of its cutoff date. Loans in the pool were originated by multiple originators and aggregated by Hudson Americas L.P., according to Fitch Ratings. Fitch also revealed that 60.9% of the loans in the pool 

“Borrowers have a moderate credit profile (739 model FICO and 42% model debt to income ratio [DTI]) and leverage (79% sustainable loan to value ratio [sLTV] and 71% combined LTV [cLTV]),” according to Fitch. “The pool consists of 55.7% of loans where the borrower maintains a primary residence, while 44.3% comprise an investor property or second home.”

Fitch gave COLT 2022-2 a negative loan documentation rating, as approximately 89.4% of the pool were underwritten to less than full documentation, and 52% 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, according to the rating agency.

Fitch stated that its treatment of alternative loan documentation increased the 'AAAsf' expected loss by 594bps relative to a fully documented loan in line with Appendix Q. This is mostly driven by the higher percentage of DSCR loans, according to the agency.