Credit Suisse plans to sell $399 million of residential mortgage backed securities in its fifth securitization of 2014, bringing the bank's year-to-date issuance to $1.6 billion.

The deal will offer several tranches of class A notes that have been assigned a preliminary ratings of ‘AAA’/ ‘AAA’ by Standard & Poor’s and DBRS. Also on offer is a single tranche of 'BBB'-rated notes and a single tranche of 'BB' rated notes.

The certificates are backed by 561 loans with a total principal balance of $404,621,027.1 The mortgage loans were acquired by Credit Suisse subsidiary, DLJ Mortgage Capital.  

The loans will be divided into two pools. The first pool is comprised of fixed-rate, first-lien mortgage loans with original terms to maturity of 15 years. The second pool consists of fixed-rate, first-lien mortgage loans with original terms to maturity of primarily 30 years.

The pools have a weighted average combined LTV of 71.4%, according to the DBRS presale report, which means that borrowers “have considerable equity in the homes.” Approximately 6.4% of the loans have FICOs lower than 720 and 10.4% have FICOs of 800 or higher. None of the loans have IO features. Fully amortizing fixed-rate loans generally pose the lowest default risk, given the stability in monthly payments.

Approximately 77.1% of the pool is comprised of mortgages that are designated as safe harbor, qualified mortgages.

DLJ purchased the loans from a number of mortgage providers that include Quicken Loans (30.7%), PHH Mortgage Corporation (10.9%), EverBank (10.4%), Sierra Pacific Mortgage Company (6.5%), Caliber Home Loans, (6.3%) and various other originators, each comprising less than 5% of pool one. The originators for the pool two mortgage loans are New Penn Financial (28.0%), EverBank (22.6%), Quicken (17.2%), Caliber (7.9%) and various other originators, each comprising less than 5% of pool two.  

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