DBRS Assigns Provisional Ratings to CSMC 2017-RPL1 Mortgage-Backed Notes, Series 2017-RPL1

DBRS, Inc. (DBRS) has today assigned provisional ratings to the following CSMC 2017-RPL1 Mortgage-Backed Securities, Series 2017-RPL1 (the Notes) issued by CSMC 2017-RPL1 Trust (the Trust):

-- $211.8 million Class A1 at AAA (sf)
-- $36.4 million Class A2 at AAA (sf)
-- $49.2 million Class M1 at A (sf)
-- $21.7 million Class M2 at BBB (sf)
-- $17.7 million Class B1 at BB (sf)
-- $20.1 million Class B2 at B (sf)

The AAA (sf) ratings on the Notes reflect the 37.00% of credit enhancement provided by the subordinated Notes in the pool. The A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 24.50%, 19.00%, 14.50% and 9.40% of credit enhancement, respectively.

Other than the specified classes above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio of seasoned performing and re-performing first-lien residential mortgages. The Notes are backed by 2,077 loans with a total principal balance of $393,968,732 as of the Cut-off Date (May 31, 2017).

The portfolio contains 99.6% modified loans. Within the pool, 1,852 mortgages have non-interest-bearing deferred amounts, which equates to 20.7% of the total principal balance. The modifications happened more than two years ago for 93.9% of the modified loans. The loans are approximately 124 months seasoned and 98.4% of the loans are current as of the Cut-off Date, including 2.2% bankruptcy-performing loans. 1.6% of the loans are 30 days delinquent under the Mortgage Banker Association (MBA) delinquency method. Approximately 79.9% of the mortgage loans have been zero times 30 days delinquent for at least the past 24 months under the MBA delinquency methods. None of the loans is subject to the Consumer Financial Protection Bureau’s Qualified Mortgage rules.

As the Sponsor, DLJ Mortgage Capital, Inc. (DLJMC or the Sponsor), a wholly owned subsidiary of Credit Suisse (USA), Inc. (Credit Suisse), will retain an eligible vertical interest in each security issued by the Issuer (other than the Class R Notes and the trust certificates) in the required amount of not less than 5% of each such security to satisfy the credit risk retention requirements. It is expected that the servicer, Select Portfolio Servicing, Inc., will begin servicing the loans on or about July 1, 2017. Prior to the servicing transfer date, two interim servicers will service the loans. The interim servicers will remit collections on the loans to the servicer in July 2017.

There will be no advancing of delinquent principal or interest on the mortgages by the servicer or any other party to the transaction; however, the servicer is obligated to make advances in respect of homeowner association fees, taxes and insurance, reasonable costs and expenses incurred in the course of servicing and disposing of properties.

The transaction employs a sequential-pay cash flow structure. Principal proceeds can be used to cover interest shortfalls on the Class A-1 and Class A-2 Notes, but such shortfalls on Class M-1 and more subordinate bonds will not be paid until the more senior classes are retired.

The ratings reflect transactional strengths that include underlying assets that have robust payment histories, an experienced servicer and strong structural features. Additionally, a due diligence review was performed on the portfolio with respect to regulatory compliance, payment history, data integrity, tax, title/lien and servicing comment review. Updated property values (generally broker price opinions) were provided for 100.0% of the pool.

The transaction employs a relatively weak representations and warranties framework that includes a 12-month sunset, certain knowledge qualifiers and fewer mortgage loan representations relative to DBRS criteria for seasoned pools. Mitigating factors include (1) significant loan seasoning and relative clean performance history in recent years; (2) a comprehensive due diligence review; (3) the representation provider up to the sunset date is DLJMC, a wholly owned subsidiary of Credit Suisse; (4) a breach reserve account; and (5) disputes are ultimately subject to determination made in a related arbitration proceeding.

The DBRS rating of AAA (sf) addresses the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes. The DBRS ratings of A (sf), BBB (sf), BB (sf) and B (sf) address the ultimate payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Notes.

The full description of the strengths, challenges and mitigating factors are detailed in the related presale report. Please see the related appendix for additional information regarding sensitivity of assumptions used in the rating process.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodologies are RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions, Legal Criteria for U.S. Structured Finance, Operational Risk Assessment for U.S. RMBS Originators and Operational Risk Assessment for U.S. RMBS Servicers, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

The full report providing additional analytical detail is available by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.