DBRS Rates CSMC Series 2011-1R

DBRS has today assigned the following ratings to the CSMC Series 2011-1R Securities issued by CSMC Series 2011-1R (the Trust).

-- $488.4 million Class A-1 rated at AAA (sf)

This resecuritization trust consists of 97 underlying seasoned senior residential mortgage-backed securities (RMBS). The AAA (sf) rating on the Class A-1 Notes reflects the 63% credit enhancement provided by subordination. The rating also reflects the quality of the underlying assets.

The rating assigned to the securities address (i) the likelihood of the receipt by noteholders of all principal distributions to which such noteholders are entitled and (ii) the likelihood of the receipt by noteholders of the amount of interest actually received by the Trust in respect of the Underlying Securities (as such interest entitlement may be reduced in accordance with the Underlying Agreement) to the extent payable to such class in accordance with the priorities described in the operative documents.

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

Interest and principal payments on the securities will generally be made three business days following the latest underlying distribution date (the 25th of the month), commencing in March 2011. Interest will be distributed on a sequential basis to the securities. Principal will be distributed on a sequential basis to the securities, in the order of priority specified in the private placement memorandum, until the principal balances thereof are reduced to zero.

Any losses realized from the underlying security will be allocated in a reverse sequential order to the securities.

This resecuritization is backed by 97 seasoned senior RMBS, represented by various real estate mortgage investment conduits (REMICs). The REMICs are backed by pools of prime and Alt-A, fixed- and adjustable-rate, first-lien, one- to four-family residential mortgages.

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

The applicable methodology is Rating U.S. Residential Mortgage-Backed Securities Transactions, which can be found on our website under Methodologies.