DBRS Assigns Provisional Ratings to CIM Trust 2018-J1

DBRS, Inc. (DBRS) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2018-J1 (the Certificates) issued by CIM Trust 2018-J1 (the Trust):

-- $338.2 million Class A-1 at AAA (sf)
-- $338.2 million Class A-2 at AAA (sf)
-- $338.2 million Class A-3 at AAA (sf)
-- $253.7 million Class A-4 at AAA (sf)
-- $253.7 million Class A-5 at AAA (sf)
-- $253.7 million Class A-6 at AAA (sf)
-- $84.6 million Class A-7 at AAA (sf)
-- $84.6 million Class A-8 at AAA (sf)
-- $84.6 million Class A-9 at AAA (sf)
-- $270.6 million Class A-10 at AAA (sf)
-- $270.6 million Class A-11 at AAA (sf)
-- $270.6 million Class A-12 at AAA (sf)
-- $67.6 million Class A-13 at AAA (sf)
-- $67.6 million Class A-14 at AAA (sf)
-- $67.6 million Class A-15 at AAA (sf)
-- $16.9 million Class A-16 at AAA (sf)
-- $16.9 million Class A-17 at AAA (sf)
-- $16.9 million Class A-18 at AAA (sf)
-- $20.9 million Class A-19 at AAA (sf)
-- $20.9 million Class A-20 at AAA (sf)
-- $20.9 million Class A-21 at AAA (sf)
-- $359.1 million Class A-22 at AAA (sf)
-- $359.1 million Class A-23 at AAA (sf)
-- $359.1 million Class A-24 at AAA (sf)
-- $359.1 million Class A-IO1 at AAA (sf)
-- $338.2 million Class A-IO2 at AAA (sf)
-- $338.2 million Class A-IO3 at AAA (sf)
-- $338.2 million Class A-IO4 at AAA (sf)
-- $253.7 million Class A-IO5 at AAA (sf)
-- $253.7 million Class A-IO6 at AAA (sf)
-- $253.7 million Class A-IO7 at AAA (sf)
-- $84.6 million Class A-IO8 at AAA (sf)
-- $84.6 million Class A-IO9 at AAA (sf)
-- $84.6 million Class A-IO10 at AAA (sf)
-- $270.6 million Class A-IO11 at AAA (sf)
-- $270.6 million Class A-IO12 at AAA (sf)
-- $270.6 million Class A-IO13 at AAA (sf)
-- $67.6 million Class A-IO14 at AAA (sf)
-- $67.6 million Class A-IO15 at AAA (sf)
-- $67.6 million Class A-IO16 at AAA (sf)
-- $16.9 million Class A-IO17 at AAA (sf)
-- $16.9 million Class A-IO18 at AAA (sf)
-- $16.9 million Class A-IO19 at AAA (sf)
-- $20.9 million Class A-IO20 at AAA (sf)
-- $20.9 million Class A-IO21 at AAA (sf)
-- $20.9 million Class A-IO22 at AAA (sf)
-- $359.1 million Class A-IO23 at AAA (sf)
-- $359.1 million Class A-IO24 at AAA (sf)
-- $359.1 million Class A-IO25 at AAA (sf)
-- $4.8 million Class B-1 at AA (sf)
-- $6.7 million Class B-2 at A (sf)
-- $3.8 million Class B-3 at BBB (sf)
-- $3.2 million Class B-4 at BB (sf)

Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, A-IO11,
A-IO12, A-IO13, A-IO14, A-IO15, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, A-IO22, A-IO23, A-IO24 and A-IO25 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-IO2, A-IO3, A-IO4, A-IO5, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO17, A-IO20, A-IO23, A-IO24 and A-IO25 are exchangeable certificates. These classes can be exchanged for a combination of exchange certificates as specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17 and A-18 are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes A-19, A-20 and A-21) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect the 5.50% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 4.25%, 2.50%, 1.50% and 0.65% 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 530 loans with a total principal balance of $380,008,740 as of the Cut-off Date (April 1, 2018).

The mortgage loans were originated by Quicken Loans, Inc. (18.1%), Guild Mortgage Company (13.7%), New Penn Financial, LLC (9.9%), Guaranteed Rate, Inc. (8.8%), JMAC Lending, Inc. (8.5%) and various other originators, each comprising no more than 7.0% of the pool by principal balance. On or prior to the Closing Date, the Sellers, Chimera Funding TRS LLC and Chimera Residential Mortgage Inc., will acquire the mortgage loans from Bank of America, National Association. Through bulk purchases, BANA acquired the mortgage loans underwritten either to its jumbo whole loan acquisition guidelines (94.5%) or pursuant to Fannie Mae’s Automated Underwriting System (AUS) (5.5%).

Shellpoint Mortgage Servicing will service 100% of the mortgage loans, directly or through subservicers. Wells Fargo Bank, N.A. will act as Master Servicer, Securities Administrator and Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee.

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 and well-qualified borrowers.

This transaction employs a representations and warranties (R&W) framework that contains certain weaknesses, such as unrated R&W providers, unrated entities (the Sellers) providing a back-stop and sunset provisions on the back-stop. To capture the perceived weaknesses, DBRS reduced the originator scores for all loans in this pool. A lower originator score results in increased default and loss assumptions and provides additional cushions for the rated securities.

The full description of the strengths, challenges and mitigating factors are detailed in the related presale report.

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, Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules, 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, Operational Risk Assessment for U.S. RMBS Originators, Operational Risk Assessment for U.S. RMBS Servicers and Legal Criteria for U.S. Structured Finance, 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 in connection with this rating action.

Please see the related appendix for additional information regarding sensitivity of assumptions used in the rating process.

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