DBRS Assigns Ratings to CSMC Series 2015-12R

DBRS, Inc. (DBRS) has today assigned the following rating to the CSMC Series 2015-12R securities issued by CSMC Series 2015-12R (the Trust):

-- $110.9 million Class 2-A-1 at BBB (sf)

There are five groups in this resecuritization trust. DBRS rates securities from Group 2, consisting of one seasoned senior residential mortgage-backed security (RMBS). The rating on the offered securities reflect the credit enhancement provided by subordination and the quality of the underlying assets.

Within Group 2, 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 January 2016. 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.

Realized losses will be applied to reduce the Class Principal Balances of the related Offered Securities in inverse order of priority of principal distributions until the Class Principal Balances thereof have been reduced to zero.

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 subprime residential mortgages.

The rating assigned to the security addresses (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 rating on the security does not address the likelihood that the noteholders will receive all amounts of interest due on the securities at the related Note Rate. The rating on the security does not address the payment of any Interest Carryforward Amounts and Group 2 Net Rate Carryover 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 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 (October 2015), which can be found on our website under Methodologies.