DBRS Rates CSMC Series 2011-9R

DBRS has today assigned the following ratings to the CSMC Series 2011-9R Securities issued by CSMC Series 2011-9R (the Trust).

-- $244.8 million Class A-1 rated at AAA (sf)
-- $21.9 million Class A-2 rated at AA (sf)
-- $26.2 million Class A-3 rated at A (sf)

This resecuritization trust consists of 45 underlying seasoned senior residential mortgage-backed securities (RMBS). The AAA (sf) rating on the Class A-1 Notes reflects the 44% credit enhancement provided by subordination. The AA (sf) and A (sf) ratings reflect 39% and 33% of credit enhancement, respectively. The ratings also reflect the quality of the underlying assets.

The ratings assigned to the securities address (i) the likelihood of the receipt by security holders of all principal distributions to which such security holders are entitled and (ii) the likelihood of the receipt by security holders 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 classes above, DBRS does not rate any other securities in this transaction.

Interest and principal payments on the securities will be made two business days following the latest underlying distribution date (generally the 27th of the month), commencing in July 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 securities will be allocated in a reverse sequential order to the notes.

This resecuritization is backed by 45 seasoned senior RMBS, represented by 40 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.