DBRS Assigns Rating to CSMC Series 2014-5R

DBRS has today assigned the following rating to the CSMC Series 2014-5R security issued by CSMC Series 2014-5R (the Trust).

-- $11.0 million Class 11-A-1 rated BBB (sf)

There are 11 groups in this resecuritization trust. DBRS rates notes from Group 11, consisting of two seasoned senior residential mortgage-backed securities (RMBS). The rating on the offered note reflects the credit enhancement provided by subordination and the quality of the underlying asset.

Interest and principal payments on the security will be made on the second business day following the underlying distribution date (generally the 25th of each month), commencing in June 2014. Interest payments will be distributed on a pro rata basis to the security. Principal will be distributed sequentially to the security, 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 security.

The DBRS-rated group is a resecuritization of two seasoned senior RMBS, represented by one real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of seasoned subprime, one- to four-family, and fixed- or adjustable-rate residential mortgages.

The rating assigned to the offered security addresses (1) the likelihood of the receipt by securityholders of all principal distributions to which such securityholders are entitled and (2) the likelihood of the receipt by securityholders 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 rating, 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 1.2: U.S. Residential Mortgage-Backed Securities 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.

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

DBRS's rating definitions and the terms of use of such ratings are available at www.dbrs.com.