DBRS has rated a rare prime residential private-label RMBS backed by recently originated portfolio of loans and Fitch Ratings has issued an unsolicited rating on the deal.
The transaction, CSMC Trust 2012-CIM1, received ratings on eight classes from DBRS ranging from a top investment grade rating of AAA (sf) to a speculative grade BB (sf), according to a DBRS report.
The rating of the AAA (sf) class reflects 8% credit enhancement provided by subordination as well as the prime quality of the assets and the capabilities of the servicers, Credit Suisse's Select Portfolio Servicing (servicing 93.4% of the loans in the deal) and PHH (servicing the remainder).
The loan portfolio backing the transaction as of the deal's March 1 cutoff date was close to $742 million in size, had a 4.94% weighted average coupon, an updated weighted average FICO score of 760 and a weighted average original loan-to-value ratio of 70.6%.
MetLife originated about 82% of the loans in this portfolio, Credit Suisse subsidiary DLJ Mortgage Capital through its whole loan flow acquisition channel acquired another 10.7% of the loans from Quicken Loans, 6.6% from PHH Mortgage Corp. and 0.7% from Dubuque Bank and Trust Co. The loans have an average nine months of seasoning.
Like other recent jumbo deals, rather than a traditional shifting-interest structure (a structure in which a portion of subordinate prepayments are allocated to the senior class), the deal has a subordination floor aimed at retaining credit support and keeping its possible performance from fluctuating too wildly, creating “tail risk.” The transaction also eliminates a usual test that generally directs a portion of the unscheduled principal away from the senior classes.
Fitch, which has rated some the Redwood/Sequoia deals that have dominated this relatively small market, said in a report about its unsolicited rating on the CSMC deal that it was asked to review CMSC Trust 2012-CIM1 but ultimately not to rate it.
“We had a different view on the transaction and ultimately felt that the proposed structure was insufficient to achieve the required ratings-particularly at the 'AAA' level,” said Rui Pereira, managing director, head of U.S. RMBS for Fitch, in an e-mail response to a question from this publication.
Fitch in its report said its analysts felt the 8% CE level for the top-rated class was too low and it would need about a 9.75% CE to get a AAA rating.
Unsolicited ratings are relatively rare but are issued from time-to-time, with somewhat increased frequency since the downturn. They are considered by some to potentially have a competitive bias. Another rating agency, Moody's, is known for pioneering the practice.
A Fitch spokesman said his company has issued unsolicited ratings no more than a handful of times.
DBRS had not returned a call for comment at deadline.
