DBRS Assigns Provisional Ratings to CSMC 2017-HL1 Trust

DBRS, Inc. (DBRS) has today assigned provisional ratings to the Mortgage Pass-Through Certificates, Series 2017-HL1 (the Certificates) issued by CSMC 2017-HL1 Trust (the Trust) as follows:

-- $435.2 million Class A-1 at AAA (sf)
-- $435.2 million Class A-2 at AAA (sf)
-- $326.4 million Class A-3 at AAA (sf)
-- $326.4 million Class A-4 at AAA (sf)
-- $21.8 million Class A-5 at AAA (sf)
-- $21.8 million Class A-6 at AAA (sf)
-- $87.0 million Class A-7 at AAA (sf)
-- $87.0 million Class A-8 at AAA (sf)
-- $49.4 million Class A-9 at AAA (sf)
-- $49.4 million Class A-10 at AAA (sf)
-- $348.1 million Class A-11 at AAA (sf)
-- $108.8 million Class A-12 at AAA (sf)
-- $348.1 million Class A-13 at AAA (sf)
-- $108.8 million Class A-14 at AAA (sf)
-- $484.6 million Class A-IO1 at AAA (sf)
-- $435.2 million Class A-IO2 at AAA (sf)
-- $326.4 million Class A-IO3 at AAA (sf)
-- $21.8 million Class A-IO4 at AAA (sf)
-- $87.0 million Class A-IO5 at AAA (sf)
-- $49.4 million Class A-IO6 at AAA (sf)
-- $7.9 million Class B-1 at AA (sf)
-- $9.0 million Class B-2 at A (sf)
-- $5.1 million Class B-3 at BBB (sf)
-- $2.3 million Class B-4 at BB (sf)

The AAA (sf) ratings on the Certificates reflect the 5.35% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), and BB (sf) ratings reflect 3.80%, 2.05%, 1.05% and 0.60% of credit enhancement, respectively.

Other than the specified classes above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio of first-lien, fixed-rate, prime residential mortgages. The Certificates are backed by 850 loans with a total principal balance of $511,975,049 as of the Cut-off Date.

The mortgage loans were originated by Finance of America Mortgage LLC (9.0%), Stearns Lending, LLC (6.4%), American Pacific Mortgage Corporation (5.3%), Cornerstone Home Lending, Inc. (5.2%) and various other originators, each comprising no more than 10.0% of the pool by principal balance. As the aggregator, American International Group, Inc. (AIG) purchased and underwrote the mortgage loans to its acquisition guidelines.

Cenlar FSB will service 100% of the mortgage loans, directly or through subservicers. Wells Fargo Bank, N.A. will act as the Master Servicer and Securities Administrator. Wilmington Savings Fund Society, FSB, doing business as Christiana Trust will serve as Trustee. AIG Home Loan 5, LLC and AIG Home Loan 1, LLC are the Sponsors, Sellers and Servicing Administrators for this transaction.

For any mortgage loan that becomes 90 days or more delinquent, the Servicing Administrators have the option to purchase any such loan from the trust at a price equal to 100% of the unpaid principal balance of such mortgage loan, plus accrued interest.

The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers and satisfactory third-party due diligence review.

The Sellers have 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 may ultimately be subject to determination in an arbitration proceeding.

DBRS views the representations and warranties features for this transaction to be consistent with previous DBRS-rated prime jumbo transactions, but includes certain weaknesses, such as knowledge qualifiers and sunset provisions on certain representations. To capture the above perceived weakness, DBRS adjusted the originator score downward for all loans. The full description of the representations and warranties standard, the mitigating factors and the DBRS analysis are detailed in the related report.

The full description of the strengths, challenges and mitigating factors is detailed in the related presale report. Please see the related appendix for additional information regarding sensitivity of assumptions used in the rating process.

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

The principal methodologies are RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions, Legal Criteria for U.S. Structured Finance, Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules, Operational Risk Assessment for U.S. RMBS Originators and Operational Risk Assessment for U.S. RMBS Servicers, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

The full report providing additional analytical detail is available by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.