DBRS Assigns Ratings to CSMC Series 2014-9R

DBRS has today assigned the following ratings to the CSMC Series 2014-9R securities issued by CSMC Series 2014-9R (the Trust).

-- $9.7 million Class 11-A-1 rated A (sf)
-- $10.7 million Class 11-A-3 rated BBB (sf)
-- $1.0 million Class 11-A-5 rated BBB (sf)

Classes 11-A-1 and 11-A-5 are Exchangeable REMIC Notes. Class 11-A-3 is an Exchangeable Note. Exchangeable REMIC Notes can be exchanged for the corresponding Exchangeable Note, and vice versa, subject to the conditions and procedures described in further detail in the offering memorandum.

There are 11 groups in this resecuritization trust. DBRS rates notes from Group 11, consisting 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 assets.

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 October 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.

With respect to Group 11, the underlying security does not provide for the reduction of the principal balances thereof by the amount of any losses.

The DBRS-rated group is a resecuritization of one seasoned senior RMBS, represented by a real estate mortgage investment conduit (REMIC). The REMIC is backed by a pool of seasoned Alt-A, fixed-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). The ratings on the securities do not address the payment of any interest carry-forward amount or any net rate carry-over amounts.

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 rating is 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.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.