DBRS Rates Additional Classes issued by CSMC Series 2012-4R

DBRS, Inc. (DBRS) has today assigned ratings to the following new classes added to CSMC Series 2012-4R issued by CSMC Series 2012-4R (the Trust), subsequent to the assignment of DBRS ratings to other classes in the transaction on May 31, 2012.

-- $14.49 million Class 1A18** rated at A (sf)
-- $14.49 million Class 1A26** rated at A (sf)
-- $10.18 million Class 1A36** rated at AAA (sf)
-- $10.18 million Class 1A38** rated at AAA (sf)
-- $12.53 million Class 1A40** rated at AA (sf)
-- $12.53 million Class 1A43** rated at AA (sf)
-- $12.53 million Class 1A45** rated at AA (sf)
-- $17.18 million Class 2A14** rated at AA (sf)
-- $13.87 million Class 3A9** rated at A (sf)
-- $13.87 million Class 3A22** rated at A (sf)
-- $13.87 million Class 3A30** rated at A (sf)
-- $10.22 million Class 3A40** rated at AAA (sf)
-- $10.22 million Class 3A42** rated at AAA (sf)
-- $12.04 million Class 3A44** rated at AA (sf)
-- $12.04 million Class 3A47** rated at AA (sf)
-- $12.04 million Class 3A49** rated at AA (sf)
-- $16.16 million Class 4A47** rated at A (sf)
-- $16.16 million Class 4A18** rated at A (sf)
-- $16.16 million Class 4A26** rated at A (sf)
-- $12.22 million Class 4A36** rated at AAA (sf)
-- $12.22 million Class 4A38** rated at AAA (sf)
-- $14.19 million Class 4A40** rated at AA (sf)
-- $14.19 million Class 4A43** rated at AA (sf)
-- $14.19 million Class 4A45** rated at AA (sf)
-- $6.06 million Class 6A9** rated at A (sf)
-- $6.06 million Class 6A28** rated at A (sf)
-- $16.29 million Class 7A19** rated at A (sf)
-- $16.29 million Class 7A27** rated at A (sf)
-- $12.31 million Class 7A37** rated at AAA (sf)
-- $12.31 million Class 7A39** rated at AAA (sf)
-- $14.3 million Class 7A41** rated at AA (sf)
-- $14.3 million Class 7A44** rated at AA (sf)
-- $14.3 million Class 7A46** rated at AA (sf)
-- $9.92 million Class 8A7** rated at AA (sf)

There are eight groups in this resecuritization trust. DBRS rates notes from Groups 1, 2, 3, 4, 6, 7 and 8. Each DBRS-rated group consists of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the offered notes reflect the credit enhancement provided by subordination and the quality of the underlying asset. The Exchangeable Notes are exchangeable for certain classes of the Exchangeable Remic Notes and vice versa, in the related combinations described in the private placement memorandum.

Other than the classes specified above and the classes rated on May 31, 2012 (please see related press release for details), DBRS does not rate any other securities in this transaction.

Within each DBRS-rated group, interest and principal payments on the securities will generally be made on the second business day following the latest underlying distribution date of any security group (the 25th of each month), commencing in June 2012.

Within each DBRS-rated group, interest payments will be distributed on a pro rata 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.

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

Each DBRS-rated group is a resecuritization of one seasoned senior RMBS, represented by one real estate mortgage investment conduit (REMIC). The REMICs are backed by pools of seasoned Prime or Alt-A, fixed or adjustable-rate, first-lien, one- to four-family residential mortgages.

The ratings assigned to the offered 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 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 any interest shortfalls allocated to the related underlying securities or any other cause, and as such interest entitlement may be further reduced by the allocation of extraordinary expenses). For more details on the ratings, please refer to the offering and transaction legal documents.

DBRS ReREMIC Methodology Excerpt
Since a ReREMIC is a pass-through of interest, principal and losses from the underlying certificates, its interest entitlement is usually capped at the actual interest amount collected on the underlying securities.

In other words, a ReREMIC trust cannot pay out more interest than it receives from its collateral, and sometimes, what is collected on the underlying securities can be as low as zero.

When rating ReREMICs, DBRS is assessing the ability of the trust making the full principal payment by the legal final maturity date of the transaction. These transactions typically define interest rate as the lesser of the bond coupon and the available interest funds. Hence, the DBRS rating does not provide an opinion on the timeliness or amount of interest payments the investor may receive. The trust’s only obligation is to pass through the interest proceeds net of fees from the underlying securities.

Notes:
** Denotes Exchangeable Notes.

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

The applicable methodology is RMBS Insight: U.S. Residential Mortgage-Backed Securities Loss Model and Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at or by contacting us at info@dbrs.com.

The initial press release with DBRS ratings as of May 31, 2012 is hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at or by contacting us at info@dbrs.com.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.