DBRS Rates CSMC Series 2013-3R

DBRS, Inc. has today assigned the following ratings to the CSMC Series 2013-3R Securities issued by CSMC Series 2013-3R (the Trust).

-- $10.0 million Class 4-A-1 rated at ‘A’ (sf)
-- $10.2 million Class 5-A-1 rated at ‘A’ (sf)

There are five groups in this resecuritization trust. DBRS rates notes from groups 4 and 5. 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.

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

Interest and principal payments on the securities will be made on the second business day following the underlying distribution date (generally the 19th day of each month for group 4 and on the 25th of each month for group 5), commencing in March 2013. 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.

Any losses realized from the underlying securities 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, 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:
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 or by contacting us at info@dbrs.com.

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