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Credit Suisse private-label RMBS deal causes split views

Credit Suisse Group (CS) priced its first private-label residential mortgage-backed securitization of the year, with credit rating agencies issuing opposing views over the deal.

The note issuance is a RMBS securities transaction backed by first-lien, fixed-rate residential mortgage loans secured by single-family residences to prime borrowers, according to Standard & Poor’s

The deal, which is entitled CSMC Trust 2013-TH1, totaled $425.7 million.

Wells Fargo Bank (WFC) will act as the master servicer and Christiana Trust will act as the Trustee for the transaction.

The aggregate pool included loans majority originated by Quicken Loans

Other originators include PHH Mortgage (PHH), Bofi Federal Bank, First Savings Mortgage, Skyline Financial (SKY), Caliber Funding, Pinnacle Capital Mortgage and Prospect Mortgage

The pool consisted of 555 loans with the weighted average original FICO credit score of 779.

Both S&P and Fitch Ratings assigned top grades to the senior certificates of the deal, which can be viewed in the final ratings below. 

However, S&P and Fitch opposed views as to key drivers and weaknesses of the deal.

For instance, S&P identified that because a majority of the assets are jumbo, the originators in the pool tend to originate within geographically concentrated areas of high risk.

“We believe that the additional loss coverage required by our geographic concentration factor compensates for this risk. However, we also note that the geographic concentration has decreased compared to recent CSMC transactions,” the credit rating agency said in a report.

However, Fitch noted that a key driver for this deal was high geographic concentration.

“Although the collateral pool has a sizeable geographic concentration risk in California, 50%, the properties are distributed across several metropolitan statistical areas in the state,” the credit rating agency noted. 

Another weakness in the transaction deals with many of the originators providing representations & warranties are smaller unrated entities that may not be able to repurchase loans, according to S&P.

Credit Suisse priced three deals last year, with the latest in November.


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