DBRS Assigns Ratings to CSMC Series 2015-2R

DBRS, Inc. (DBRS) has today assigned the following ratings to the CSMC Series 2015-2R securities issued by CSMC Series 2015-2R (the Trust).

-- $22.6 million Class 3-A-1 rated BBB (sf)
-- $64.1 million Class 4-A-1 rated BBB (sf)
-- $136.7 million Class 7-A-1 rated BBB (sf)

There are eight groups in this resecuritization trust. DBRS rates notes from Groups 3, 4 and 7, each consisting of one seasoned senior residential mortgage-backed security (RMBS). The ratings on the offered notes reflects 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 March 2015. 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.

Within each group, realized losses from the underlying security will be allocated in a reverse sequential order to the securities until the principal balances have been reduced to zero.

Each DBRS-rated group is a resecuritization of one seasoned senior RMBS, represented by a real estate mortgage investment conduit (REMIC). The REMICs are backed by pools of seasoned Option ARM residential mortgages.

The ratings assigned to the securities address (1) the likelihood of the receipt by noteholders of all principal distributions to which such noteholders are entitled and (2) 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 Net Interest Reductions or any other cause and, as such, interest entitlement may be further reduced by the allocation of Extraordinary Trust Expenses as further described in the operative documents). The ratings on the securities do not address statements regarding the likelihood or frequency of prepayments on the mortgage loans, the possibility that a holder of a security might realize a lower-than-anticipated yield, the likelihood or effect of the payment of any Interest Carry-forward Amount, Group 3 Net Rate Carry-over Amounts or Group 4 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 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.

The applicable methodology is RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (December 2014), which can be found on our website under Methodologies.