DBRS Rates CSMC Trust 2014-OAK1

DBRS, Inc. (DBRS) has today assigned the following ratings to the Mortgage Pass-Through Certificates, Series 2014-OAK1 (the Certificates) issued by CSMC Trust 2014-OAK1:

– $57.9 million Class 1-A-1 at AAA (sf)
– $57.9 million Class 1-X-1 at AAA (sf)
– $57.9 million Class 1-A-2 at AAA (sf)
– $191.3 million Class 2-X-4 at AAA (sf)
– $76.0 million Class 2-A-1 at AAA (sf)
– $76.0 million Class 2-X-1 at AAA (sf)
– $25.3 million Class 2-A-2 at AAA (sf)
– $10.3 million Class 2-A-3 at AAA (sf)
– $59.7 million Class 2-A-4 at AAA (sf)
– $59.7 million Class 2-X-2 at AAA (sf)
– $19.9 million Class 2-A-5 at AAA (sf)
– $135.7 million Class 2-X-3 at AAA (sf)
– $2.0 million Class B-1 at AA (sf)
– $4.8 million Class B-2 at A (sf)
– $3.0 million Class B-3 at BBB (sf)
– $8.8 million Class B-4 at BB (sf)

Class 1-X-1, Class 2-X-1, Class 2-X-2, Class 2-X-3, and Class 2-X-4 are interest-only certificates. The class balances represent notional amounts.

Class 1-A-2, and Class 2-X-3 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents.

Class 2-A-1, and Class 2-A-2 are super senior certificates. These classes benefit from additional protection from senior support certificates (Class 2-A-3) with respect to loss allocation.

The AAA (sf) ratings in this transaction reflect the 8.45% of credit enhancement provided by subordination. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 7.70%, 5.95%, 4.85% and 1.60% of credit enhancement, respectively. Other than the specified classes above, DBRS does not rate any other classes in this transaction.

The Certificates are backed by 390 prime residential mortgage loans with a total principal balance of $272,140,731 as of the Cut-Off Date (December 1, 2014). The mortgage loans were acquired by Five Oaks Acquisition Corp. (Five Oaks). The mortgage loans will be divided into two pools. Pool 1 consists of fixed-rate first-lien mortgage loans with original terms to maturity of 15 years. Pool 2 generally consists of fixed-rate first-lien mortgage loans with original terms to maturity of primarily 30 years.

The originators for the pool 1 mortgage loans are PrimeLending, a PlainsCapital Company (19.5%), Caliber Home Loans, Inc. (11.6%), Provident Funding Associates, L.P. (Provident, 10.2%), Stonegate Mortgage Corporation (Stonegate, 8.2%), Guaranteed Rate, Inc. (6.9%), Amerisave Mortgage Corporation (5.3%), Guild Mortgage Company (5.1%), JMAC Lending, Inc. (5.1%) and various other originators, each comprising less than 5.0%. The originators for the pool 2 mortgage loans are HomeStreet Bank (HSB, 16.4%), Provident (10.6%), Stonegate (8.4%), Radius Bank (7.4%), Blue Hills Bank (7.1%), Kinecta Federal Credit Union (6.8%) and various other originators, each comprising less than 5.0%.

The pool 1 loans will be serviced by New Penn doing business as Shellpoint Mortgage Servicing (SMS, 74.1%), PHH Mortgage Corporation (PHH, 26.0%). The pool 2 loans will be serviced by PHH (44.8%), Select Portfolio Servicing, Inc. (SPS, 28.5%), and SMS (26.7%). Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer, Securities Administrator and Custodian.

The transaction employs a senior subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure. Pool 1 and Pool 2 senior certificates will be backed by collateral from each pool, respectively. The subordinate certificates will be cross-collateralized between the two pools.

Each originator has made certain representations and warranties concerning the mortgage loans. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans, and resolution of disputes is generally subject to determination in an arbitration proceeding.

DBRS views the representations and warranties features for this transaction to be consistent with recent DBRS-rated prime jumbo transactions; however, some originators may potentially experience financial stress that could result in their inability to fulfill repurchase obligations, and the backstop to fulfill some of the obligations is being provided by Five Oaks Acquisition Corp. (the Seller), an unrated entity. To capture the above perceived weakness, DBRS adjusted the originator scores of the lenders in the portfolio downward. Such an adjustment (and consequent increases in default and loss rates) is to account for the originators’ or the Seller’s potential inability to fulfill repurchase obligations. The full description of the representations and warranties standard, the mitigating factors and the DBRS analysis are detailed in the related rating report.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions and Legal Criteria for U.S. Structured Finance , which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link or by contacting us at info@dbrs.com.

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.