DBRS Finalizes Provisional Ratings on CSMC 2018-RPL9 Trust

DBRS, Inc. (DBRS) finalized its provisional ratings on the following Mortgage-Backed Notes, Series 2018-RPL9 (the Notes) issued by CSMC 2018-RPL9 Trust (the Issuer):

-- $702.5 million Class A-1 at AAA (sf)
-- $124.0 million Class A-2 at AAA (sf)
-- $124.0 million Class A-2A at AAA (sf)
-- $124.0 million Class A-2-IO at AAA (sf)
-- $826.5 million Class A at AAA (sf)
-- $43.6 million Class M-1 at AA (sf)
-- $36.4 million Class M-2 at A (sf)
-- $34.9 million Class M-3 at BBB (sf)
-- $20.5 million Class B-1 at BB (sf)
-- $13.9 million Class B-2 at B (sf)

Class A-2-IO is an interest-only note. The class balance represents a notional amount.

Classes A and A-2 are exchangeable notes. These classes can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The AAA (sf) ratings on the Notes reflect the 19.50% of credit enhancement provided by the subordinated Notes in the pool. The AA (sf), A (sf), BBB (sf), BB (sf) and B (sf) ratings reflect 15.25%, 11.70%, 8.30%, 6.30% and 4.95% 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 funded by the issuance of the Notes. The Notes are backed by 4,663 loans with a total principal balance of $1,026,692,705 as of the Cut-off Date.

The portfolio is approximately 145 months seasoned and of the loans, 95.3% are modified. The modifications happened more than two years ago for 98.3% of the modified loans. Within the pool, 1,521 mortgages have non-interest-bearing deferred amounts, which equate to 8.3% of the total principal balance.

As of the Cut-Off Date all of the loans are current and 99.3% of the loans have been zero times 30 days delinquent (0 x 30) for at least the past 24 months under the Mortgage Bankers Association (MBA) delinquency method. Additionally, 88.5% of the loans have been 0 x 30 for at least the past 36 months under the MBA delinquency method. None of the loans are 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 no 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 service 32.6% of the loans as of the Cut-off Date, service an additional 1.3% on October 1, 2018, and service the remaining 66.1% on December 4, 2018. Prior to each servicing transfer date, two interim servicers will service the loans. To mitigate any potential disruptions resulting from the transfer of servicing to the Servicer on each servicing transfer date, the Servicer will advance scheduled monthly payments due on the mortgage loans for the payment dates in October 2018, November 2018, December 2018 and January 2019.

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 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 Notes, but such shortfalls on Class M-2 and more subordinate bonds will not be paid until the more senior classes are retired.

The rating reflects transactional strengths that include underlying assets that have generally performed well through the crisis (99.3% of the pool has been clean for the past 24 months and 88.5% of the pool has been clean for the past 36 months), good credit quality relative to other re-performing pools reviewed by DBRS and a strong servicer. Additionally, a third-party due diligence review, albeit on less than 100% of the portfolio with respect to regulatory compliance and data integrity, was performed on a sample that exceeds DBRS’s criteria. The due diligence results and findings on the sampled loans were satisfactory.

This transaction employs a relatively weak representations and warranties (R&W) 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 very clean performance history in the past two years, (2) a satisfactory third-party due diligence review, (3) the representation provider up to the R&W Sunset Date is DLJMC, a wholly owned subsidiary of Credit Suisse, (4) a breach reserve account will be available to satisfy losses related to potential R&W breaches on or after the R&W Sunset Date and (5) disputes are ultimately subject to determination made in a related arbitration proceeding.

Certain loans have missing assignments or endorsements on the Closing Date. If such assignments or endorsements are not cured by the end of one year from the Closing Date, then the Sponsor will repurchase such loans.

The DBRS ratings of AAA (sf) and AA (sf) address 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 report.

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, Interest Rate Stresses for U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions, Operational Risk Assessment for U.S. RMBS Originators, Operational Risk Assessment for U.S. RMBS Servicers and Legal Criteria for U.S. Structured Finance, 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 in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

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