Standard & Poor’s Rating Service assigned primarily triple-A to several tranches of the deal because the pool is superior to what it would consider an archetypical version of an RMBS.
Fitch Ratings was not asked to rate the deal, only to provide its opinion, and added the transaction has insufficient enhancement to achieve a AAA rating.
At 5.85% the credit enhancement available to the AAA rated A-2 class is more than 15% lower than any Fitch rated primes RMBS transaction issued since 2008. An estimated credit enhancement for the senior class A-1 and A-2 notes was 8%.
Fitch also stated that while the CSMC Trust Mortgage Corp 2012-CIM3 is representative of a high credit quality prime portfolio, it is not sufficient to fully address the risks associated with the pool including "concentrations in geographies whose property prices remain well above what Fitch believes are sustainable values."
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.