The enhancement levels for the new Credit Suisse prime RMBS deal called CSFB Mortgage Securities 2012-CIM1 are not enough to support a triple-A rating, Fitch Ratings said today.
Via an unsolicited ratings research note, Fitch said that the credit enhancement amounts shown for the transaction are insufficient to reach the proposed ratings throughout all tranches being offered in the deal.
According to Fitch's analysis, credit enhancement would need to be roughly 9.75% to achieve ‘AAAsf’ versus the transaction credit enhancement level of 8%. In addition, all subordinate classes from ‘AAsf’ to ‘BBsf’ have credit enhancement that is lower than Fitch’s expectations.
Fitch was ultimately not asked to rate the deal as a result of the agency’s more conservative credit stance, Fitch stated.
However, while the transaction contained greater credit risk than recently-issued prime transactions, Fitch said that the credit quality of the deal's mortgage pool is unusually strong relative to non-agency mortgage pools securitized before 2008.