DBRS Assigns Provisional Ratings to CIM Trust 2018-INV1

DBRS, Inc. (DBRS) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2018-INV1 (the Certificates) issued by CIM Trust 2018-INV1 (the Trust):

-- $358.2 million Class A-1 at AAA (sf)
-- $358.2 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)
-- $244.8 million Class A-5 at AAA (sf)
-- $244.8 million Class A-6 at AAA (sf)
-- $16.3 million Class A-7 at AAA (sf)
-- $16.3 million Class A-8 at AAA (sf)
-- $65.3 million Class A-9 at AAA (sf)
-- $65.3 million Class A-10 at AAA (sf)
-- $261.1 million Class A-11 at AAA (sf)
-- $81.6 million Class A-12 at AAA (sf)
-- $31.8 million Class A-13 at AAA (sf)
-- $31.8 million Class A-14 at AAA (sf)
-- $358.2 million Class A-IO1 at AAA (sf)
-- $358.2 million Class A-IO2 at AAA (sf)
-- $326.4 million Class A-IO3 at AAA (sf)
-- $244.8 million Class A-IO4 at AAA (sf)
-- $16.3 million Class A-IO5 at AAA (sf)
-- $65.3 million Class A-IO6 at AAA (sf)
-- $31.8 million Class A-IO7 at AAA (sf)
-- $10.2 million Class B-1 at AA (sf)
-- $11.4 million Class B-2 at A (sf)
-- $10.6 million Class B-3 at BBB (sf)
-- $8.6 million Class B-4 at BB (sf)
-- $3.9 million Class B-5 at B (sf)

Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6 and A-IO7 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-9, A-11, A-12, A-13, A-IO2 and A-IO3 are exchangeable certificates. These classes can be exchanged for a combination of exchange certificates as specified in the offering documents.

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

The AAA (sf) ratings on the Certificates reflect the 12.20% of credit enhancement provided by subordinated Certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 9.70%, 6.90%, 4.30%, 2.20% and 1.25% 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 prime, first-lien, fixed-rate, agency eligible, investment property residential mortgages funded by the issuance of the Mortgage Pass-Through Certificates, Series 2018-INVI (the Certificates). The Certificates are backed by 1,472 loans with a total principal balance of $407,991,627 as of the Cut-Off Date (September 1, 2018).

The pool is composed of 100% fully amortizing fixed-rate conventional mortgages with original terms to maturity of primarily 30 years. All of the loans in the pool are conventional mortgages either made to investors for business purposes or as cashout refinancing for personal use. The personal use loans (9.9% of the pool) are subject to the Qualified Mortgage and Ability-to-Repay rules (together, the Rules), and the remainder (91.1% of the pool) are not subject to the Rules.

All the mortgage loans in the portfolio were eligible for purchase by Fannie Mae or Freddie Mac.

The originators for the aggregate mortgage pool are Caliber Home Loans, Inc. (26.4%), AmeriHome Mortgage (14.9%), Home Point (11.7%) and various other originators, each comprising less than 11.0% of the mortgage loans.

The loans will be serviced or sub-serviced by Shellpoint Mortgage Servicing (92.3%) and TIAA, FSB (7.7%).

Wells Fargo Bank, N.A. will act as the Master Servicer, Custodian and Securities Administrator. 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, well-qualified borrowers and satisfactory third-party due diligence on all the loans.

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.