NEW YORK--(BUSINESS WIRE)--Link to Fitch Ratings' Report: CSMC Series 2014-11R -- Appendix
Fitch Ratings expects to assign a rating and Rating Outlook to one group of CSMC Trust Series 2014-11R, a U.S. RMBS resecuritization:
Group 17 Securities
--$5,373,000 class 17-A-1 'BBBsf'; Outlook Stable.
Fitch is not expected to rate the following classes:
--$1,632,800 subsequent exchangeable class 17-A-2;
--$816,000 initial exchangeable class 17-A-3;
--$816,800 initial exchangeable class 17-A-4.
The expected rating on the offered securities will be in effect at such time as the seller sells in a qualifying sale at least 15% (by value) of such offered securities to purchasers other than the seller of such underlying securities or its affiliates.
CSMC 2014-11R is comprised of 17 groups. Fitch is rating one bond in one of the groups (Bond 17-A-1 in group 17). Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated group is collateralized with class A-2 from Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-RAMP1. While the mortgage pool has performed worse than initial expectations, performance has stabilized and improved in recent years.
Fitch's stressed mortgage pool loss assumption in the 'BBBsf' rating scenario is approximately 50% of the underlying pool. Fitch assumes home prices decline 20% below their sustainable levels in a 'BBBsf' rating scenario. The principal balances of all subordinate classes of the underlying transaction have been entirely written down. That said, the underlying class A-2 benefits from a sequential payment priority that effectively provides approximately 38% subordination for principal recovery in the underlying transaction. The new resecuritization class 17-A-1 benefits from additional credit support of 23.3% as a percentage of the A-2 class (approximately 14% as a percentage of the underlying pool balance).
Ocwen Loan Servicing (Ocwen) is a primary servicer of the underlying mortgage pool. Fitch recently placed Ocwen's servicer rating on Rating Watch Negative due to concerns raised by the New York State Department of Financial Services (NY DFS). The NY DFS has alleged significant issues with Ocwen's systems and processes, especially relating to borrower requests for mortgage loan modifications. Ocwen's increased risk is mitigated by the presence of Wells Fargo Bank, N.A. (Wells Fargo; rated 'RMS1' by Fitch) as Master Servicer.
This transaction contains certain classes designated as Initial Exchangeable Securities and another as a Subsequent Exchangeable Securities.
For Group 17, classes 17-A-3 and 17-A-4 are Initial Exchangeable Securities and class 17-A-2 is a Subsequent Exchangeable Security. For the Fitch rated group, interest is paid pro-rata and principal is paid sequentially.
KEY RATING DRIVERS
Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated group, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the senior bond rated by Fitch would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.
Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.
The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.
The group-to-bond association for the Fitch-rated group is as follows: Group Seventeen represents a 14.29% interest in the Deutsche Alt-A Securities Mortgage Loan Trust, series 2007-RAMP1, Class A-2. Fitch's 'BBBsf' rating for class 17-A-1 reflects the credit risk of the underlying transaction and the additional subordination provided by the new resecuritization trust. The underlying collateral pool for Deutsche Alt-A Securities Mortgage Loan Trust, series 2007-RAMP1, class A-2 consists of fixed-rate and hybrid ARM mortgage loans. As of Nov. 25, 2014, Fitch estimates the loans remaining in the underlying pool had an original weighted average (WAVG) credit score of 689, an estimated current combined loan-to-value of 98% and a sustainable loan-to-value of 102%. The top three state concentrations are New York (12%), Florida (11%) and New Jersey (9%). Approximately 36.5% of the remaining pool is delinquent.
For further information, see CSMC Series 2014-11R Representations and Warranties Appendix, published today and available at 'www.fitchratings.com' or by clicking on the above link.
Additional information is available at 'www.fitchratings.com'.
In addition to the information sources identified in Fitch's criteria listed below, Fitch's analysis incorporated information from the LoanPerformance database including underlying loan level information and from Intex for the underlying bond structure. The re-REMIC structure was provided by Nomura Securities International, Inc.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (May 2014);
--'U.S. RMBS Master Rating Criteria,' (July 2014);
--'U.S. RMBS Surveillance and Re-REMIC Criteria' (June 2014);
--'U.S. RMBS Loan Loss Model Criteria' (November 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 2014);
--'U.S. RMBS Cash Flow Analysis Criteria' (April 2014);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (January 2014);
--'Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers' (January 2014).
Applicable Criteria and Related Research:
Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers
Global Structured Finance Rating Criteria
U.S. RMBS Master Rating Criteria
U.S. RMBS Surveillance and Re-REMIC Criteria
U.S. RMBS Loan Loss Model Criteria
Counterparty Criteria for Structured Finance and Covered Bonds
EMEA RMBS Cash Flow Analysis Criteria
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds