Fitch Rates Credit Suisse First Boston Mortgage Securities Corp., CSMC Series 2009-14R

October 30, 2009 10:13 AM EDT

NEW YORK--(BUSINESS WIRE)-- 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 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. The loan level information used in analyzing pools is taken from the Loan Performance database. In general, fields in the data tape are complete. However, in this deal the back-end DTI ratio field was missing. Fitch makes a default assumption of 35% for loans with this missing information.

This transaction contains certain classes designated as Exchangeable notes and others as Exchangeable REMIC notes. The Exchangeable notes are exchangeable for certain classes of Exchangeable REMIC notes.

Additional information is available at www.fitchratings.com.

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE WWW.FITCHRATINGS.COM. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.

    Source: Fitch Ratings

Stocks Mentioned

Related Entities

• Credit Suisse
• Fitch Ratings
• GMAC

Add Your Comment

Name

Subject

Body

Verification can't see the text?
click here to refresh the image.
what's this?