DBRS Rates CSMC Series 2011-4R

DBRS has today assigned the following ratings to the CSMC Series 2011-4R Securities issued by CSMC Series 2011-4R (the Trust).

-- $16.7 million Class 1A3* rated at A(sf)
-- $177.1 million Class 4A1* rated at AAA(sf)
-- $13.2 million Class 4A2* rated at AA(sf)
-- $13.2 million Class 4A3* rated at A(sf)
-- $190.4 million Class 4A5** rated at AA(sf)
-- $203.6 million Class 4A6** rated at A(sf)
-- $26.4 million Class 4A7** rated at A(sf)
-- $20.9 million Class 5A3* rated at A(sf)

There are six groups total in this resecuritization trust. DBRS rates Group 1, 4 and 5, each consisting of one underlying seasoned senior residential mortgage-backed security (RMBS). The ratings on the securities reflect the credit enhancement provided by subordination within each group. The ratings also reflect the quality of the underlying asset. The Exchangeable REMIC Notes are exchangeable for the Exchangeable Notes and vice versa, in the related combinations described in the private placement memorandum.

The ratings 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 to the extent payable to each class in accordance with the priorities described in the operative documents (as such interest received by the Trust may have been reduced as a result of Net Interest Reductions or any other cause, and as such interest entitlement may be further reduced by the allocation of Extraordinary Trust Expenses). The ratings on the securities do not address statements regarding the likelihood or frequency of prepayments on the mortgage loans, the possibility that a holder of a security might realize a lower than anticipated yield, the likelihood or effect of the payment of any Interest Carryforward Amount and the likelihood or effect of any Extraordinary Trust Expenses that the trust might incur.

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 on the second business day following the underlying distribution date (the 25th of each month), commencing in March 2011. Within Groups 1 and 5, interest will be distributed on a pro rata basis to the securities. Within Group 4, 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.

The DBRS rated Groups are each a resecuritization backed by one seasoned senior RMBS, represented by one real estate mortgage investment conduit (REMIC). The REMIC trust is backed by a pool of prime or Alt-A, fixed or adjustable-rate, first-lien, one- to four-family residential mortgages.

Notes:

• denotes Exchangeable REMIC Note.
  ** denotes Exchangeable Note.

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.