Fitch rates Thornburg Mortgage Securities Trust (TMST) series 2007-5 residential mortgage pass-through certificates, as follows:
Group 1:
--$754,461,100 classes 1A1, 1AX, 1A2, 2A1, 2AX, 3A1, 3A2, 3A3, 3A4, 3AX1, 3AX2 and A-R ('senior certificates') 'AAA';
--$11,725,000 class B1 'AA';
--$5,865,000 class B2 'A';
--$2,345,000 class B3 'BBB'.
Group 2:
--$37,314,100 classes 4A1, 4AX and 4AR ('senior certificates') 'AAA';
--$6,005,000 class 4B1 'AA';
--$2,170,000 class 4B2 'A';
--$1,150,000 class 4B3 'BBB';
--$1,460,000 class 4B4 'BB';
--$1,430,000 class 4B5 'B'.
The 'AAA' rating on the senior certificates for group 1 reflects the 3.50% subordination provided by the 1.50% non-offered B1 class, the 0.75% non-offered B2 class, the 0.30% non-offered B3 class, the 0.45% non-offered and non-rated B4 class, the 0.30% non-offered and non-rated B5 class and the 0.20% non-offered and non-rated B6 class. Fitch believes the above credit enhancement will be adequate to support mortgagor defaults, as well as bankruptcy, fraud, and special hazard losses in limited amounts. In addition, the ratings reflect the quality of the mortgage collateral, the strength of the legal and financial structures, and the capabilities of Wells Fargo Bank, N.A. (Well Fargo) as master servicer (rated 'RMS1' by Fitch).
The 'AAA' rating on the senior certificates for group 2 reflects the 27.50% subordination provided by the 11.75% non-offered 4B1 class, the 4.25% non-offered 4B2 class, the 2.25% non-offered 4B3 class, the 2.86% non-offered 4B4 class, the 2.80% non-offered 4B5 class and the 3.10% non-offered and non-rated 4B6 class. Fitch believes the above credit enhancement will be adequate to support mortgagor defaults, as well as bankruptcy, fraud, and special hazard losses in limited amounts. In addition, the ratings reflect the quality of the mortgage collateral, the strength of the legal and financial structures, and the capabilities of Wells Fargo Bank, N.A. (Well Fargo) as master servicer (rated 'RMS1' by Fitch).
The mortgage pool for group 1 consists primarily of 919 recently originated, adjustable rate, conventional, first lien, one-to four-family, residential mortgage loans, a substantial majority of which have original terms to maturity of 30 years. As of the cut-off date, the pool had an aggregate principal balance of approximately $781,125,168. The average loan balance is $850,735, and the weighted average original loan-to-value ratio (OLTV) for the mortgage loans in the pool is approximately 68.33%. The weighted average FICO credit score for the pool is approximately 748. Cash-out and rate/term refinance loans represent 30.73% and 19.51% of the pool, respectively. Second and investor-occupied homes account for 22.21% and 12.60% of the pool, respectively. The states that represent the largest geographic concentration are California (26.00%), New York (12.65%) and Colorado (10.19%).
The mortgage pool for group 2 consists primarily of 31 recently originated, adjustable rate, conventional, first lien, one - to four-family, residential mortgage loans, a substantial amount of which have original terms to maturity of 30 years. As of the cut-off date, the pool had an aggregate principal balance of approximately $51,115,114. The average loan balance is $1,648,874, and the weighted average effective loan-to-value ratio (OLTV) for the mortgage loans in the pool is approximately 64.43%. The weighted average FICO credit score for the pool is approximately 725. Cash-out and rate/term refinance loans represent 55.00% and 15.22% of the pool, respectively. Second and investor-occupied homes account for 20.81% and 4.81% of the pool, respectively. The states that represent the largest geographic concentration are California (34.27%), Connecticut (20.69%) and Arizona (12.35%).
The mortgage loans in group 2 are adjustable-rate mortgages (ARMs) with the potential to negatively amortize, commonly known as Option ARMs. The Option ARM borrowers have four payment options: interest only (IO), minimum monthly payment (MMP), principal and interest payment based on a 15-year amortization schedule, and principal and interest payment based on a 30- or 40-year amortization schedule. The loans may negatively amortize if the borrower chooses to make the MMP particularly in a rising rate environment. The Option ARMs in this pool are mostly indexed to the 1 Year Libor rate.
None of the mortgage loans are 'high cost' loans as defined under any local, state, or federal laws. For additional information on Fitch's rating criteria regarding predatory lending legislation, see the press release 'Fitch Revises Rating Criteria in Wake of Predatory Lending Legislation,' dated May 1, 2003, available on the Fitch Ratings web site at www.fitchratings.com.
Credit Suisse First Boston Mortgage Securities Corp. deposited the loans in the trust, which issued the certificates, representing undivided beneficial ownership in the trust. For federal income tax purposes, elections will be made to treat the trust fund as one or more real estate mortgage investment conduits (REMICs). LaSalle Bank, N.A. will act as Trustee and Wells Fargo Bank, N.A. will act as securities administrator and master servicer for the trust.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
