Credit Suisse is taking advantage of the relative calm in credit markets Thursday to launch its second residential mortgage securitization of the year.
The securities will be backed by a $347 million pool of loans acquired by its subsidiary, DLJ Mortgage Capital, according to DBRS.
The collateral is anything but dicey, which must surely be a plus in light of the volatility in global financial markets earlier this week.
A total of 464 prime, 30-year, fully amortizing, fixed-rate loans are pooled in the securitization trust, called CSMLT 2015-2. Most of the loans were acquired from five originators: Quicken loans (17.1%), New Penn Financial (16%), First Key Mortgage (16%), Caliber Home Loans (7.9%) and Pinnacle (5.2%).
Loans in the pool have similar credit attributes as Credit Suisse's previous deal from the CSMLT shelf, completed in May. The loans have a weighted average (WA) coupon of 4.1%, a WA FICO score of 758 and are underwritten with a WA loan to value of 71.8%.
Loans in the pool have been seasoned, on average, for four months and have clean payment histories, according to DBRS. "Except for 21 loans that had previous servicing transfer-related payment disruptions, no loan has had prior delinquencies since origination," the presale states.
All of the loans in the pool that are subject to ability-to-repay rules (99.1%) qualify for a legal safe harbor.
DBRS has assigned an AAA’ rating to the class A notes and an AA’ rating to the class B-1 notes. It is not rating the class B-2, B-3, B-4 or B-5 notes.
