DBRS Rates CSMC Trust 2014-WIN1, Mortgage Pass-Through Certificates, Series 2014-WIN1

DBRS has today assigned the following ratings to the Mortgage Pass-Through Certificates, Series 2014-WIN1 (the Certificates) issued by CSMC Trust 2014-WIN1:

-- $71.8 million Class 1-A-4 at AAA (sf)
-- $71.8 million Class 1-X-1 at AAA (sf)
-- $71.8 million Class 1-X-2 at AAA (sf)
-- $71.8 million Class 1-X-3 at AAA (sf)
-- $71.8 million Class 1-X-4 at AAA (sf)
-- $71.8 million Class 1-A-3 at AAA (sf)
-- $71.8 million Class 1-A-2 at AAA (sf)
-- $71.8 million Class 1-A-1 at AAA (sf)
-- $71.8 million Class 1-X-5 at AAA (sf)
-- $71.8 million Class 1-X-6 at AAA (sf)
-- $71.8 million Class 1-X-7 at AAA (sf)
-- $71.8 million Class 1-X-9 at AAA (sf)
-- $71.8 million Class 1-X-10 at AAA (sf)
-- $71.8 million Class 1-X-11 at AAA (sf)
-- $241.5 million Class 2-A-5 at AAA (sf)
-- $241.5 million Class 2-X-1 at AAA (sf)
-- $241.5 million Class 2-X-2 at AAA (sf)
-- $241.5 million Class 2-X-3 at AAA (sf)
-- $241.5 million Class 2-X-4 at AAA (sf)
-- $241.5 million Class 2-A-12 at AAA (sf)
-- $241.5 million Class 2-X-9 at AAA (sf)
-- $241.5 million Class 2-A-13 at AAA (sf)
-- $241.5 million Class 2-X-10 at AAA (sf)
-- $241.5 million Class 2-A-11 at AAA (sf)
-- $241.5 million Class 2-A-14 at AAA (sf)
-- $241.5 million Class 2-X-11 at AAA (sf)
-- $241.5 million Class 2-X-21 at AAA (sf)
-- $241.5 million Class 2-X-22 at AAA (sf)
-- $241.5 million Class 2-X-23 at AAA (sf)
-- $241.5 million Class 2-X-30 at AAA (sf)
-- $60.4 million Class 2-A-8 at AAA (sf)
-- $60.4 million Class 2-X-5 at AAA (sf)
-- $60.4 million Class 2-X-6 at AAA (sf)
-- $60.4 million Class 2-X-7 at AAA (sf)
-- $60.4 million Class 2-X-8 at AAA (sf)
-- $60.4 million Class 2-A-7 at AAA (sf)
-- $60.4 million Class 2-X-12 at AAA (sf)
-- $60.4 million Class 2-A-6 at AAA (sf)
-- $60.4 million Class 2-X-13 at AAA (sf)
-- $60.4 million Class 2-A-9 at AAA (sf)
-- $60.4 million Class 2-A-10 at AAA (sf)
-- $60.4 million Class 2-X-14 at AAA (sf)
-- $60.4 million Class 2-X-37 at AAA (sf)
-- $60.4 million Class 2-X-38 at AAA (sf)
-- $60.4 million Class 2-X-39 at AAA (sf)
-- $60.4 million Class 2-X-40 at AAA (sf)
-- $301.9 million Class 2-A-4 at AAA (sf)
-- $301.9 million Class 2-X-15 at AAA (sf)
-- $301.9 million Class 2-A-2 at AAA (sf)
-- $301.9 million Class 2-X-19 at AAA (sf)
-- $301.9 million Class 2-A-3 at AAA (sf)
-- $301.9 million Class 2-X-35 at AAA (sf)
-- $301.9 million Class 2-A-1 at AAA (sf)
-- $301.9 million Class 2-X-18 at AAA (sf)
-- $301.9 million Class 2-A-15 at AAA (sf)
-- $301.9 million Class 2-X-24 at AAA (sf)
-- $301.9 million Class 2-X-25 at AAA (sf)
-- $301.9 million Class 2-X-26 at AAA (sf)
-- $301.9 million Class 2-X-27 at AAA (sf)
-- $301.9 million Class 2-X-28 at AAA (sf)
-- $301.9 million Class 2-X-29 at AAA (sf)
-- $301.9 million Class 2-X-31 at AAA (sf)
-- $301.9 million Class 2-X-32 at AAA (sf)
-- $301.9 million Class 2-X-33 at AAA (sf)
-- $301.9 million Class 2-X-34 at AAA (sf)
-- $301.9 million Class 2-X-41 at AAA (sf)
-- $289.3 million Class 2-A-16 at AAA (sf)
-- $12.6 million Class 2-A-17 at AAA (sf)
-- $289.3 million Class 2-X-16 at AAA (sf)
-- $12.6 million Class 2-X-17 at AAA (sf)
-- $301.9 million Class 2-X-36 at AAA (sf)
-- $289.3 million Class 2-A-18 at AAA (sf)
-- $12.6 million Class 2-A-19 at AAA (sf)
-- $68.8 million Class 1-A-5 at AAA (sf)
-- $3.0 million Class 1-A-6 at AAA (sf)
-- $71.8 million Class 1-X-8 at AAA (sf)
-- $6.1 million Class B-1 at AA (sf)
-- $6.7 million Class B-2 at A (sf)
-- $7.7 million Class B-3 at BBB (sf)
-- $4.7 million Class B-4 at BB (sf)

Class 1-X-1, Class 1-X-2, Class 1-X-3, Class 1-X-4, Class 1-X-5, Class 1-X-6, Class 1-X-7, Class 1-X-9, Class 1-X-10, Class 1-X-11, Class 2-X-1, Class 2-X-2, Class 2-X-3, Class 2-X-4, Class 2-X-9, Class 2-X-10, Class 2-X-11, Class 2-X-21, Class 2-X-22, Class 2-X-23, Class 2-X-30, Class 2-X-5, Class 2-X-6, Class 2-X-7, Class 2-X-8, Class 2-X-12, Class 2-X-13, Class 2-X-14, Class 2-X-37, Class 2-X-38, Class 2-X-39, Class 2-X-40, Class 2-X-15, Class 2-X-19, Class 2-X-35, Class 2-X-18, Class 2-X-24, Class 2-X-25, Class 2-X-26, Class 2-X-27, Class 2-X-28, Class 2-X-29, Class 2-X-31, Class 2-X-32, Class 2-X-33, Class 2-X-34, Class 2-X-41, Class 2-X-16, Class 2-X-17, Class 2-X-36 and Class 1-X-8 are interest-only certificates. The class balances represent notional amounts.

Class 1-A-3, Class 1-A-2, Class 1-A-1, Class 1-X-5, Class 1-X-6, Class 1-X-7, Class 1-X-9, Class 1-X-10, Class 1-X-11, Class 2-A-12, Class 2-X-9, Class 2-A-13, Class 2-X-10, Class 2-A-11, Class 2-A-14, Class 2-X-11, Class 2-X-21, Class 2-X-22, Class 2-X-23, Class 2-X-30, Class 2-A-7, Class 2-X-12, Class 2-A-6, Class 2-X-13, Class 2-A-9, Class 2-A-10, Class 2-X-14, Class 2-X-37, Class 2-X-38, Class 2-X-39, Class 2-X-40, Class 2-A-4, Class 2-X-15, Class 2-A-2, Class 2-X-19, Class 2-A-3, Class 2-X-35, Class 2-A-1, Class 2-X-18, Class 2-A-15, Class 2-X-24, Class 2-X-25, Class 2-X-26, Class 2-X-27, Class 2-X-28, Class 2-X-29, Class 2-X-31, Class 2-X-32, Class 2-X-33, Class 2-X-34, Class 2-X-41, Class 2-A-16, Class 2-A-17, Class 2-X-16, Class 2-X-17, Class 2-X-36, Class 2-A-18, Class 2-A-19, Class 1-A-5, Class 1-A-6 and Class 1-X-8 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents.

Class 1-A-5, Class 2-A-16 and Class 2-A-18 are super senior certificates. These classes benefit from additional protection from senior support certificates (Class 1-A-6, Class 2-A-17 and Class 2-A-19) with respect to loss allocation.

The AAA (sf) ratings in this transaction reflect the 7.65% of credit enhancement provided by subordination. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 6.15%, 4.50%, 2.60% and 1.45% 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 561 prime residential mortgage loans with a total principal balance of $404,621,027 as of the Cut-Off Date (August 1, 2014). The mortgage loans were acquired by DLJ Mortgage Capital, Inc. (DLJMC). The mortgage loans will be divided into two pools. Pool 1 consists of fixed-rate first-lien mortgage loans with original terms to maturity of 15 years. Pool 2 consists of fixed-rate first-lien mortgage loans with original terms to maturity of primarily 30 years.

The originators for the Pool 1 mortgage loans are Quicken Loans Inc. (Quicken; 30.7%), PHH Mortgage Corporation (PHH; 10.9%), EverBank (10.4%), Sierra Pacific Mortgage Company, Inc. (6.5%), Caliber Home Loans, Inc. (Caliber; 6.3%) and various other originators, each comprising less than 5% of Pool 1 mortgage loans. The originators for the Pool 2 mortgage loans are New Penn Financial, LLC (New Penn; 28.0%), EverBank (22.6%), Quicken (17.2%), Caliber (7.9%) and various other originators, each comprising less than 5% of Pool 2 mortgage loans. With respect to 5.7% of the entire pool, DLJMC purchased loans from Florida Community Bank, which were purchased from and originated by various originators.

The Pool 1 loans will be serviced by Select Portfolio Servicing, Inc. (SPS; 77.2%), PHH (10.9%), EverBank (10.4%) and New Penn doing business as Shellpoint Mortgage Servicing (SMS; 1.5%). The Pool 2 loans will be serviced by SPS (46.4%), New Penn doing business as SMS (28.0%), EverBank (22.6%) and PHH (2.9%). Wells Fargo Bank, N.A. 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. Pool 1 and Pool 2 senior certificates will be backed by collateral from each pool, respectively. The subordinate certificates will be cross-collateralized between the two pools.

Each originator 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 is 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. Such a backstop is, however, 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, 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.