Credit Suisse (CS) priced its third private-label residential mortgage-backed securitization of the year.

The deal securitizes prime, jumbo mortgages purchased as part of a mortgage portfolio acquired for structured finance purposes by subsidiary DLJ Mortgage Capital. This is the third deal this year after Credit Suisse priced its first RMBS in March. 

Standard & Poor‘s Rating Services rated assigned primarily triple-A to several tranches of the deal.

From a credit perspective S&P says the pool is superior to what it would consider an archetypical version of an RMBS. 

AAA, A, BBB classes hold 5.85%, 5.15%, 2.1% credit enhancement, respectively.  Due diligence also was performed on every loan by a third-party provider. The mortgage pool contains borrowers with cash reserves to pay the mortgage up to 36 times.

See chart below for full breakdown of ratings.

Wells Fargo (WFC) and Bank N.A. are the master servicers of the transaction.

Credit Suisse titled the deal CSMC Trust 2012-CIM3. S&P’s sees the credit enhancement provided by the capital structure is greater than the estimated loss coverage. 

The transaction will serve as a model for future deals, S&P stated. 


First, this CIM3 transaction includes time limits within which investors can make claims for breaches of two particular representations and warranties from the originator or provider. 

“We believe that traditional R&W provisions merit attention to provide greater clarity on re-purchase responsibilities, encourage greater due diligence in the origination and securitization processes, and reduce litigation and related expenses for all market participants in the long term,” S&P said.

Second, is the clarification of the “material and adverse” repurchase standard, which was the subject of significant litigation and consideration. 

“The apparent purpose of the provisions in some of the repurchase agreements in CIM3 is to limit the repurchase obligation to situations when the associated R&W breaches either caused a default or increase a loss as a result of default,” S&P stated. 

In March, the first private-backed label RMBS was also assigned AAA to several tranches of the deal by S&P.


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