Credit Suisse plans to issue a securitization of a portfolio of prime residential mortgages funded by the issuance of mortgage pass-through certificates, according to a DBRS presale report.
The deal, CSMC Trust 2014-IVR2, has been assigned preliminary AAA’ ratings by DBRS. The notes are backed by 364 loans with a total principal balance of $272 billion.
The majority of the loans in the trust were originated by New Penn Financial (25.5%), Prospect Mortgage (20.4%) and Quicken Loans (15.5%) and sold, Credit Suisse subsidiary, DLJ Mortgage Capital.
The loans included in the pool have a weighted-average FICO score of 767. Approximately 9.7% of the loans have FICOs lower than 720, and 15.2% have FICOs of 800 or higher, according to the presale report. The loans are, on average, eight-months seasoned, with 15 loans aged over 12 months and a maximum age of 17 months.
“Although some loans are seasoned, the payment histories on the loans are substantially clean” wrote analysts in the report. “Except for 12 loans that had previous servicing transfer-related payment disruptions, no loan has had prior delinquencies in the past 12 months.”
DBRS notes that only five mortgage loans (1.2% of the pool) had loan application dates on or after January 10, 2014, and are subject to the Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules issued by the Bureau of Consumer Financial Protection (CFPB) as part of the Dodd-Frank Act. Because the loans are designated as QM Safe Harbor, DBRS does not apply any additional loan-level loss severity adjustments.
This is the second RMBS deal issued by Credit Suisse in 2014. DBRS outlines how the last seven Credit Suisse RMBS deal issued since 2013 compare with one another in the chart below.