DBRS Finalizes Provisional Ratings on CIM Trust 2019-J1

DBRS, Inc. (DBRS) finalized its provisional ratings on the Mortgage Pass-Through Certificates, Series 2019-J1 (the Certificates) issued by CIM Trust 2019-J1:

-- $214.2 million Class 1-A-1 at AAA (sf)
-- $214.2 million Class 1-A-2 at AAA (sf)
-- $214.2 million Class 1-A-3 at AAA (sf)
-- $160.6 million Class 1-A-4 at AAA (sf)
-- $160.6 million Class 1-A-5 at AAA (sf)
-- $160.6 million Class 1-A-6 at AAA (sf)
-- $53.5 million Class 1-A-7 at AAA (sf)
-- $53.5 million Class 1-A-8 at AAA (sf)
-- $53.5 million Class 1-A-9 at AAA (sf)
-- $171.3 million Class 1-A-10 at AAA (sf)
-- $171.3 million Class 1-A-11 at AAA (sf)
-- $171.3 million Class 1-A-12 at AAA (sf)
-- $42.8 million Class 1-A-13 at AAA (sf)
-- $42.8 million Class 1-A-14 at AAA (sf)
-- $42.8 million Class 1-A-15 at AAA (sf)
-- $10.7 million Class 1-A-16 at AAA (sf)
-- $10.7 million Class 1-A-17 at AAA (sf)
-- $10.7 million Class 1-A-18 at AAA (sf)
-- $25.2 million Class 1-A-19 at AAA (sf)
-- $25.2 million Class 1-A-20 at AAA (sf)
-- $25.2 million Class 1-A-21 at AAA (sf)
-- $239.4 million Class 1-A-22 at AAA (sf)
-- $239.4 million Class 1-A-23 at AAA (sf)
-- $239.4 million Class 1-A-24 at AAA (sf)
-- $239.4 million Class 1-A-IO1 at AAA (sf)
-- $214.2 million Class 1-A-IO2 at AAA (sf)
-- $214.2 million Class 1-A-IO3 at AAA (sf)
-- $214.2 million Class 1-A-IO4 at AAA (sf)
-- $160.6 million Class 1-A-IO5 at AAA (sf)
-- $160.6 million Class 1-A-IO6 at AAA (sf)
-- $160.6 million Class 1-A-IO7 at AAA (sf)
-- $53.5 million Class 1-A-IO8 at AAA (sf)
-- $53.5 million Class 1-A-IO9 at AAA (sf)
-- $53.5 million Class 1-A-IO10 at AAA (sf)
-- $171.3 million Class 1-A-IO11 at AAA (sf)
-- $171.3 million Class 1-A-IO12 at AAA (sf)
-- $171.3 million Class 1-A-IO13 at AAA (sf)
-- $42.8 million Class 1-A-IO14 at AAA (sf)
-- $42.8 million Class 1-A-IO15 at AAA (sf)
-- $42.8 million Class 1-A-IO16 at AAA (sf)
-- $10.7 million Class 1-A-IO17 at AAA (sf)
-- $10.7 million Class 1-A-IO18 at AAA (sf)
-- $10.7 million Class 1-A-IO19 at AAA (sf)
-- $25.2 million Class 1-A-IO20 at AAA (sf)
-- $25.2 million Class 1-A-IO21 at AAA (sf)
-- $25.2 million Class 1-A-IO22 at AAA (sf)
-- $239.4 million Class 1-A-IO23 at AAA (sf)
-- $239.4 million Class 1-A-IO24 at AAA (sf)
-- $239.4 million Class 1-A-IO25 at AAA (sf)
-- $46.4 million Class 2-A-1 at AAA (sf)
-- $5.5 million Class 2-A-2 at AAA (sf)
-- $51.9 million Class 2-A-3 at AAA (sf)
-- $51.9 million Class 2-A-4 at AAA (sf)
-- $46.4 million Class 2-A-5 at AAA (sf)
-- $5.5 million Class 2-A-6 at AAA (sf)
-- $51.9 million Class 2-A-IO1 at AAA (sf)
-- $46.4 million Class 2-A-IO2 at AAA (sf)
-- $5.5 million Class 2-A-IO3 at AAA (sf)
-- $51.9 million Class 2-A-IO4 at AAA (sf)
-- $30.7 million Class A-M at AAA (sf)
-- $4.8 million Class B-1 at AA (sf)
-- $2.9 million Class B-2 at A (sf)
-- $3.8 million Class B-3 at BBB (sf)
-- $2.0 million Class B-4 at BB (sf)
-- $613.0 thousand Class B-5 at B (sf)

Classes 1-A-IO1, 1-A-IO2, 1-A-IO3, 1-A-IO4, 1-A-IO5, 1-A-IO6, 1-A-IO7, 1-A-IO8, 1-A-IO9, 1-A-IO10, 1-A-IO11, 1-A-IO12, 1-A-IO13, 1-A-IO14, 1-A-IO15, 1-A-IO16, 1-A-IO17, 1-A-IO18, 1-A-IO19, 1-A-IO20, 1-A-IO21, 1-A-IO22, 1-A-IO23, 1-A-IO24, 1-A-IO25, 2-A-IO1, 2-A-IO2, 2-A-IO3 and 2-A-IO4 are interest-only certificates. The class balances represent notional amounts.

Classes 1-A-1, 1-A-2, 1-A-3, 1-A-4, 1-A-5, 1-A-7, 1-A-8, 1-A-9, 1-A-10, 1-A-11, 1-A-12, 1-A-13, 1-A-14, 1-A-16, 1-A-17, 1-A-19, 1-A-20, 1-A-22, 1-A-23, 1-A-24, 1-A-IO2, 1-A-IO3, 1-A-IO4, 1-A-IO5, 1-A-IO8, 1-A-IO9, 1-A-IO10, 1-A-IO11, 1-A-IO12, 1-A-IO13, 1-A-IO14, 1-A-IO17, 1-A-IO20, 1-A-IO23, 1-A-IO24, 1-A-IO25, 2-A-3, 2-A-4, 2-A-5, 2-A-6, 2-A-IO4 and A-M are exchangeable certificates. These classes can be exchanged for a combination of exchange certificates as specified in the offering documents.

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

The AAA (sf) ratings on the Certificates reflect the 5.00% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 3.45%, 2.50%, 1.25%, 0.60% and 0.40% 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 funded by the issuance of the Certificates. The Certificates are backed by 414 loans with a total principal balance of $306,611,427 as of the Cut-Off Date (August 1, 2019).

The mortgage loans are divided into two collateral groups based on original terms to maturity. Group 1 (82.2% of the aggregate pool) consists of fully amortizing fixed-rate mortgages (FRMs) with original terms to maturity of 30 years, while Group 2 (17.8% of the aggregate pool) consists of fully amortizing FRMs with original terms to maturity of 15 years.

The originators for the aggregate mortgage pool are Quicken Loans Inc. (Quicken; 38.2%); Guaranteed Rate Inc. (12.1%); loanDepot.com, LLC (10.9%); Home Point Financial Corporation (8.2%); Sierra Pacific Mortgage Company, Inc. (5.6%); and various other originators, each comprising no more than 5.0% of the pool by principal balance. On the Closing Date, the Seller, Fifth Avenue Trust, will acquire the mortgage loans from Bank of America, N.A. (BANA; rated AA (low) with a Stable trend by DBRS).

Through bulk purchases, BANA generally acquired the mortgage loans underwritten to (1) its jumbo whole-loan acquisition guidelines (40.4%) to (2) Fannie Mae or Freddie Mac’s Automated Underwriting System (10.7%), (3) to the Quicken guidelines (38.2%) or (4) pursuant to the guidelines of the related originator (10.7%). DBRS conducted an operational risk assessment on BANA’s aggregator platform, as well as certain originators, and deemed them acceptable.

Shellpoint Mortgage Servicing will service 100% of the mortgage loans, directly or through sub-servicers. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as Master Servicer, Securities Administrator and Custodian. Wilmington Savings Fund Society, FSB will serve as Trustee. Chimera Funding TRS LLC will serve as the Representations and Warranties (R&W) Provider.

The holder of a majority of the most subordinate class of certificates (the Controlling Holder) has the option to engage an asset manager to review the Servicer’s actions regarding the mortgage loans, which include determining whether the Servicer is making modifications or servicing the loans in accordance with the pooling and servicing agreement.

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

The Group 1 and Group 2 senior certificates will be backed by collateral from each respective pool. The subordinate certificates will be cross-collateralized between the two pools. This is generally known as a Y-structure. The ratings reflect transactional strengths that include high-quality underlying assets, well-qualified borrowers, satisfactory third-party due diligence on all the loans and structural enhancements.

This transaction employs an R&W framework that contains certain weaknesses, such as unrated entities providing R&W, unrated entities (the R&W Provider) providing a backstop and sunset provisions on the backstop. 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 methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.

The rated entity or its related entities did participate in the rating process for this rating action. 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 the 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.

For more information on this credit or on this industry, visit http://www.dbrs.com or contact us at info@dbrs.com.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA