Fitch Rates Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-14R
Business Wire, Oct 30, 2009
NEW YORK — Fitch Ratings rates Credit Suisse First Boston Mortgage Securities CSMC
2009-14R as follows:
–$18,182,000 exchangeable class 3-A-1 ‘AAA’; Outlook Stable;
–$12,201,000 class 3-A-3 ‘AAA’; Outlook Stable;
–$1,196,000 class 3-A-4 ‘AAA’; Outlook Stable;
–$1,197,000 class 3-A-5 ‘AAA’; Outlook Stable;
–$1,196,000 class 3-A-6 ‘AAA’; Outlook Stable;
–$1,196,000 class 3-A-7 ‘AAA’; Outlook Stable;
–$1,196,000 class 3-A-8 ‘AAA’; Outlook Stable;
–$13,397,000 exchangeable class 3-A-9 ‘AAA’; Outlook Stable;
–$14,594,000 exchangeable class 3-A-10 ‘AAA’; Outlook Stable;
–$15,790,000 exchangeable class 3-A-11 ‘AAA’; Outlook Stable;
–$16,986,000 exchangeable class 3-A-12 ‘AAA’; Outlook Stable.
–$40,406,000 exchangeable class 5-A-1 ‘AAA’; Outlook Stable;
–$28,087,000 class 5-A-3 ‘AAA’; Outlook Stable;
–$2,464,000 class 5-A-4 ‘AAA’; Outlook Stable;
–$2,464,000 class 5-A-5 ‘AAA’; Outlook Stable;
–$2,464,000 class 5-A-6 ‘AAA’; Outlook Stable;
–$2,463,000 class 5-A-7 ‘AAA’; Outlook Stable;
–$2,464,000 class 5-A-8 ‘AAA’; Outlook Stable;
–$30,551,000 exchangeable class 5-A-9 ‘AAA’; Outlook Stable;
–$33,015,000 exchangeable class 5-A-10 ‘AAA’; Outlook Stable;
–$35,479,000 exchangeable class 5-A-11 ‘AAA’; Outlook Stable;
–$37,942,000 exchangeable class 5-A-12 ‘AAA’; Outlook Stable.
The transaction closed on Oct. 29, 2009 and consists of five non-crossed
groups. Fitch did not rate the certificates in Groups 1, 2, or 4. Each
group is a resecuritization of a residential mortgage backed securities
certificate.
As resecuritizations, the certificates will receive their cash-flows
from the underlying classes of certificates. The underlying certificates
represent beneficial ownership interest in fixed-rate, adjustable-rate,
conventional, first lien residential mortgage loans, substantially all
of which have original terms to stated maturity of 30 years.
The underlying collateral and cashflow structure were analyzed according
to Fitch’s ‘Global Structured Finance Rating Criteria,’ dated Sept. 30,
2009, ‘U.S. Residential Mortgage Re-REMIC,’ dated Aug. 20, 2009 and
‘ResiLogic: U.S. Residential Mortgage Loss Model,’ dated Aug. 11, 2009.
ResiLogic, the regression-based model used by Fitch, takes into account
multiple risk factors which can broadly be placed into three categories
in the following order of influence: seasoned loan risks, economic
risks, and collateral risks. For seasoned loan risks, the delinquency
status and volatility are the most important with regards to Frequency
of Foreclosure (FOF), while change in home price index and loan age are
the most important with regards to Loss Severity (LS). Economic risk is
solely comprised of state and MSA level risk multipliers as well as a
national multiplier. In the category of collateral risk, the credit
score, credit sector, and CLTV are the most heavily-weighted risk
factors in calculating the FOF. Closing balance, LTV and loan coupon are
the most heavily-weighted risk factors in calculating Loss Severity.
Group 3 is a resecuritization of 19.67% interest in the GMAC Mortgage
Loan Trust, Class 2-A Certificates. This underlying deal has 4 loan
pools contributing to 4 bond groups that are cross collateralized. The
loan level information used in analyzing pools is taken from the Loan
Performance database. Generally, 12 months of delinquency history is
available for most transactions. However, in this deal only one month of
delinquency history was available because the underlying deal was only
available through Loan Performance starting in September 2009. Therefore
this current delinquency status was used. Additionally, due to the lack
of delinquency history the roll rate analysis on these pools used a 1
month roll rate as opposed to the standard six-month average roll rate.
This approach was considered sufficient as the one-month roll rate for
the pools was higher than the Prime sector six-month average roll rate.
Furthermore, expected losses were increased for pools that did not meet
a delinquency cushion threshold real estate for sale by owner of 36 months. This refers to the number
of months of roll to DQ at the current rate that the ResiLogic ‘B’ FoF
can withstand after taking into account expected pipeline losses.
Group 5 is a resecuritization of 26.55% interest in the Wells Fargo
Mortgage Backed Securities 2007-8, classes II-A-11 and II-A-12
certificates. This underlying deal has two loan pools contributing to
two bond groups that are cross collateralized
Nov 2, 2009
Comments
No comments yet, be the first to add one!