DBRS Rates CSMC Trust 2014-IVR2 Mortgage Pass-Through Certificates, Series 2014-IVR2

DBRS has today assigned the following ratings to the Mortgage Pass-Through Certificates, Series 2014-IVR2 (the Certificates) issued by CSMC Trust 2014-IVR2 (the Trust):

-- $231.0 million Class A-3 at AAA (sf)
-- $13.6 million Class A-6 at AAA (sf)
-- $7.6 million Class A-7 at AAA (sf)
-- $231.0 million Class A-X-1 at AAA (sf)
-- $13.6 million Class A-X-2 at AAA (sf)
-- $7.6 million Class A-X-3 at AAA (sf)
-- $231.0 million Class A-X-4 at AAA (sf)
-- $13.6 million Class A-X-5 at AAA (sf)
-- $7.6 million Class A-X-6 at AAA (sf)
-- $231.0 million Class A-1 at AAA (sf)
-- $244.6 million Class A-2 at AAA (sf)
-- $252.2 million Class A-4 at AAA (sf)
-- $21.2 million Class A-5 at AAA (sf)
-- $252.2 million Class A-8 at AAA (sf)
-- $231.0 million Class A-9 at AAA (sf)
-- $244.6 million Class A-10 at AAA (sf)
-- $252.2 million Class A-11 at AAA (sf)
-- $244.6 million Class A-12 at AAA (sf)
-- $252.2 million Class A-X-7 at AAA (sf)
-- $252.2 million Class A-X-8 at AAA (sf)
-- $21.2 million Class A-X-9 at AAA (sf)
-- $252.2 million Class A-X-10 at AAA (sf)
-- $21.2 million Class A-X-11 at AAA (sf)
-- $21.2 million Class A-X-12 at AAA (sf)
-- $7.6 million Class A-X-13 at AAA (sf)
-- $3.9 million Class B-1 at AA (sf)
-- $3.9 million Class B-2 at A (sf)
-- $4.3 million Class B-3 at BBB (sf)
-- $3.0 million Class B-4 at BB (sf)

Class A-X-1, Class A-X-2, Class A-X-3, Class A-X-4, Class A-X-5, Class A-X-6, Class A-X-7, Class A-X-8, Class A-X-9, Class A-X-10, Class A-X-11, Class A-X-12 and Class A-X-13 are interest only certificates. The class balances represent notional amounts. Class A-1, Class A-2, Class A-4, Class A-5, Class A-8, Class A-9, Class A-10, Class A-11, Class A-12, Class A-X-7, Class A-X-8, Class A-X-9, Class A-X-10, Class A-X-11, Class A-X-12 and Class A-X-13 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents.

The AAA (sf) ratings in this transaction reflect the 7.20% of credit enhancement provided by subordination. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 5.75%, 4.30%, 2.70% and 1.60% of credit enhancement, respectively. Other than the specified classes above, DBRS does not publicly rate any other classes in this transaction.

The Certificates are backed by 364 prime residential mortgage loans with a total principal balance of $271,727,984 as of the Cut-Off Date (April 1, 2014). The mortgage loans were acquired by DLJ Mortgage Capital, Inc. (DLJMC). BMI Residential Mortgage Loan Trust 2010 acquired 26.0% of the mortgage loans from various originators, including Prospect Mortgage, LLC and Prospect Lending, LLC (together, Prospect, 20.4%), and sold them to DLJMC. In addition to BMI Trust and Prospect, the other originators include New Penn Financial, LLC (New Penn, 25.5%), Quicken Loans, Inc. (Quicken, 15.5%), and various other originators, each comprising less than 5% of the mortgage loans.

The loans will be serviced by Select Portfolio Servicing, Inc. (SPS, 89.3%), New Penn Financial, LLC doing business as Shellpoint Mortgage Servicing (Shellpoint Mortgage Servicing, 8.7%), and PHH Mortgage Corporation (PHH, 2.0%). Wells Fargo Bank, N.A. (Wells Fargo) will act as the Master Servicer and Securities Administrator. Christiana Trust, a division of Wilmington Savings Fund Society, FSB will serve as trustee. The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

Each originator or BMI Trust (for BMI Trust-acquired loans) has made certain representations and warranties concerning the mortgage loans. The enforcement mechanism for breaches of representations includes automatic breach reviews by a third-party reviewer for any seriously delinquent loans, and resolution of disputes are ultimately subject to determination in an arbitration proceeding. The loans also benefit from representations and warranties backstopped by the seller, DLJMC, a wholly owned subsidiary of Credit Suisse (USA), Inc., in the event of an originator’s bankruptcy or insolvency proceeding, and if the originator fails to cure, repurchase or substitute such breach or loans. However, such a backstop is subject to certain sunset provisions that give consideration to prior loan performance.

DBRS views the representation and warranties features for this transaction to be consistent with recent DBRS-rated CSMC prime jumbo transactions. However, the relatively weak financial strength of certain originators coupled with the sunset provisions on the backstop by DLJMC still demand additional penalties and credit enhancement protections. The full description of the representations and warranties standard, the mitigating factors and the DBRS analysis are detailed in the related rating report.

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

The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for U.S. RMBS Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions and Legal Criteria for U.S. Structured Finance Transactions, 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.

These ratings are endorsed by DBRS Ratings Limited for use in the European Union.