DBRS Assigns Ratings to CSMC Series 2014-7R

DBRS has today assigned the following ratings to the CSMC Series 2014-7R securities issued by CSMC Series 2014-7R (the Trust).

-- $21.9 million Class 4-A-1 rated BBB (sf)
-- $43.3 million Class 7-A-1 rated BBB (sf)
-- $13.7 million Class 8-A-1 rated BBB (sf)
-- $2.7 million Class 8-A-3 rated BBB (sf)
-- $11.0 million Class 8-A-4 rated AAA (sf)
-- $829.0 thousand Class 8-A-5 rated AA (sf)
-- $828.0 thousand Class 8-A-6 rated A (sf)
-- $1.0 million Class 8-A-7 rated BBB (sf)

Class 8-A-1 and Class 8-A-3 are Exchangeable Notes. Class 8-A-4, Class 8-A-5, Class 8-A-6 and Class 8-A-7 are Exchangeable REMIC Notes. The Exchangeable Notes can be exchanged for the Exchangeable REMIC Notes and vice versa, subject to the conditions and procedures described in further detail in the offering memorandum.

There are nine groups in this resecuritization trust. DBRS rates notes from Groups 4, 7 and 8. Each consisting of one or two seasoned senior residential mortgage-backed securities (RMBS). The ratings on the offered notes reflect the credit enhancement provided by subordination and the quality of the underlying assets.

Interest and principal payments on the securities will be made on the second business day following the underlying distribution date (generally the 25th of each month), commencing in August 2014. Interest payments will be distributed on a pro rata basis to the securities. Principal will be distributed sequentially 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 or two seasoned senior RMBS, represented by a real estate mortgage investment conduit (REMIC). The REMICs are backed by pools of seasoned prime, subprime, one- to four-family and fixed- or adjustable-rate residential mortgages.

The ratings assigned to the offered securities address (1) the likelihood of the receipt by noteholders of all principal distributions to which such noteholders are entitled and (2) the likelihood of the receipt by noteholders 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 what is collected on the underlying securities can sometimes 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.