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Credit Suisse's $290M RMBS Next in Line

Credit Suisse plans to issue a $290.9 million residential mortgage-backed securities transaction called CSMC Trust 2013-IVR 5.

The deal has been assigned preliminary ratings by Standard & Poor’s. The class A-1 through A-13 notes are rated ‘AAA’. The class B-1 notes are rated ‘A’, the class B-2 notes are rated ‘BBB’ and the class B-3 notes are rated ‘BB’. S&P will not rate the class B-4 and B-5 notes.

Select Portfolio Servicing, PHH Mortgage Corp and First Republic Bank service the mortgage loans included in the pool.  

The five largest loan originators contributing to the pool are Guaranteed Rate which originated 9.4% of the loans, Bofl Federal Bank originated 8.3% of the loans, Sierra Pacific Mortgage Co. originated 8.3% of the pool, RPM Mortgage originated 8.1% of the pool and Cole Taylor Bank originated 5.5% of the pool. The collateral pool was purchased as part of DLJ’s flow acquisition program.

A third party due diligence provider performed due diligence on 100% of the loans in the pool, said S&P. These reviews focused on regulatory compliance, credit underwriting compliance, property valuations and pay history.

Some of the loans in the transaction are higher coupon mortgages. S&P said in the presale report that loans originated with these higher rates experience lower prepayment rates. “If conditional prepayment rates continue to slow and collateral pool losses are not realized until later in the transaction’s life, pro rata pay mechanisms can expose the senior certificated to event risk later in the transaction’s life,” explained analysts in the report.

S&P said that CSMC Trust 2013-IVR 5 is structured so that no principal payments are made to the subordinate notes if the credit support available to the senior note falls below 1.45% of the pool’s original principal balance.

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