DBRS Assigns New Ratings to CSMC 2019-RPL1 Trust

DBRS, Inc. (DBRS) assigned new ratings to the following Mortgage-Backed Notes, Series 2019-RPL1 (the Notes) issued by CSMC 2019-RPL1 Trust (the Issuer):

-- $293.0 million Class A-1 at AAA (sf)
-- $249.1 million Class A-1A at AAA (sf)
-- $44.0 million Class A-1B at AAA (sf)
-- $20.2 million Class M-1 at AA (sf)
-- $18.2 million Class M-2 at A (sf)
-- $14.2 million Class M-3 at BBB (sf)
-- $7.8 million Class B-1 at BB (sf)
-- $6.2 million Class B-2 at B (sf)

Class A-1 is an exchangeable note. This class can be exchanged for combinations of initial exchangeable notes as specified in the offering documents.

The AAA (sf) ratings on the Notes reflect 22.50% 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 17.15%, 12.35%, 8.60%, 6.55% and 4.90% 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 2,195 loans with a total principal balance of $378,128,532 as of the Cut-Off Date.

The portfolio is approximately 155 months seasoned and 88.7% of the loans are modified. The modifications happened more than two years ago for 91.6% of the modified loans. Within the pool, 750 mortgages have non-interest-bearing deferred amounts, which equates to 7.6% of the total principal balance.

As of the Cut-Off Date, 98.5% of the loans are current and 62.7% 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, 33.5% of the loans have been 0 x 30 for at least the past 36 months under the MBA delinquency method. Approximately 0.5% of the loans are subject to the Consumer Financial Protection Bureau’s Qualified Mortgage (QM) rules and are classified as Non-QM.

As the Sponsor, DLJ Mortgage Capital, Inc. (DLJMC or the Sponsor), an affiliate of the Depositor, the Issuer and 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 81.8% of the loans as of the Cut-Off Date, service an additional 17.5% on February 5, 2019, and service the remaining 0.7% on March 7, 2019. Prior to each servicing transfer date, two interim servicers will service the loans.

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 loans generally have better loan-to-value (LTV) ratios than certain other re-performing portfolios that DBRS has reviewed. This pool has a stronger Current Combined LTV ratio distribution as more than 81.4% of the loans have Current Combined LTVs below 80% and a weighted-average Original LTV of 75.5%.

Third-party due diligence was performed on the loans with respect to regulatory compliance (99.6% by count), data integrity (99.6%) and tax, title and lien review (97.3%). In addition to the third-party review, payment histories were reviewed for all the loans and servicing comments were reviewed for 15.2% of the loans by Residential RealEstate Review, Inc., an affiliated diligence provider. Updated broker price opinions or updated full appraisals were provided for 100% of the pool; however, a reconciliation was not performed on the updated values.

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 methodology is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, which can be found on dbrs.com under Methodologies & Criteria.

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.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA