1. Art and Diseño

U.S. – Structured Finance
January 28, 2015
Rating Report
RMBS
Report Date:
January 28, 2015
Analysts
Corina Gonzalez
Vice President
+1 212 806 3926
[email protected]
Lu Ye
Financial Analyst
+1 212 806 3281
[email protected]
Quincy Tang
Managing Director
+1 212 806 3256
[email protected]
Stephanie Whited
Senior Vice President
+1 212 806 3948
[email protected]
CSMC Trust 2015-WIN1
Mortgage Pass-Through Certificates, Series 2015-WIN1
Ratings
Debt1
Class Balance
($)
Interest Rate2
Credit
Enhancement
Rating
Class A-X-13
352,403,000
Net WAC minus 3.50%
N/A
AAA (sf)
Class A-1
50,000,000
Lesser of Net WAC and 3.50%
7.65%
AAA (sf)
Class A-24
208,014,000
Lesser of Net WAC and 3.00%
15.30%
AAA (sf)
Class A-34
69,338,000
Lesser of Net WAC and 3.00%
15.30%
AAA (sf)
Class A-4
25,051,000
Lesser of Net WAC and 3.00%
7.65%
AAA (sf)
Class A-X-23
208,014,000
N/A
AAA (sf)
Class A-X-33
69,338,000
N/A
AAA (sf)
Class A-X-43
25,051,000
N/A
AAA (sf)
Class A-55
302,403,000
Lesser of Net WAC and 3.00%
7.65%
AAA (sf)
Class A-65
302,403,000
Lesser of Net WAC and 3.50%
7.65%
AAA (sf)
Class A-74,5
277,352,000
Lesser of Net WAC and 3.00%
15.30%
AAA (sf)
Class A-84,5
277,352,000
Lesser of Net WAC and 3.50%
15.30%
AAA (sf)
Class A-94,5
208,014,000
Lesser of Net WAC and 3.50%
15.30%
AAA (sf)
Class A-104,5
69,338,000
Lesser of Net WAC and 3.50%
15.30%
AAA (sf)
Class A-115
25,051,000
Lesser of Net WAC and 3.50%
7.65%
AAA (sf)
Class A-X-53,5
302,403,000
N/A
AAA (sf)
Class A-X-63,5
277,352,000
N/A
AAA (sf)
Class A-X-73,5
94,389,000
N/A
AAA (sf)
Class B-1
5,533,000
Net WAC
6.20%
AA (sf)
Class B-2
6,296,000
Net WAC
4.55%
A (sf)
Class B-3
4,198,000
Net WAC
3.45%
BBB (sf)
Class B-4
7,250,000
Net WAC
1.55%
BB (sf)
Class B-5
5,915,525
Net WAC
N/A
NR
1 Rating Report – Structured Finance: U.S. RMBS
(Lesser of Net WAC and 3.50%) minus
(Lesser of Net WAC and 3.00%)
(Lesser of Net WAC and 3.50%) minus
(Lesser of Net WAC and 3.00%)
(Lesser of Net WAC and 3.50%) minus
(Lesser of Net WAC and 3.00%)
(Lesser of Net WAC and 3.50%) minus
(Lesser of Net WAC and 3.00%)
(Lesser of Net WAC and 3.50%) minus
(Lesser of Net WAC and 3.00%)
(Lesser of Net WAC and 3.50%) minus
(Lesser of Net WAC and 3.00%)
Rating Action
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
Provisional Rating
– Finalized
N/A
CSMC 2015-WIN1
Report Date:
January 28, 2015
Notes:
1. This table does not include the Class A-IO-S, Class A-PP and Class R Certificates, which are entitled to the excess servicing fee,
premium protection payments and the residual interest, respectively, and are not publicly rated by DBRS.
2. All interest rates are floored at 0%.
3. Interest-only certificates. The class balances represent notional amounts.
4. Super senior certificates. These classes benefit from additional protection from the senior support certificates (i.e., Class A-4 and
Class A-11) with respect to loss allocation.
5. Exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the
offering documents.
Table of Contents
Ratings
1
Transaction Summary
Strengths
Challenges and Mitigating Factors
Transaction Parties and Relevant Dates
Rating Rationale
Credit Analysis Details
Collateral Description and Comparison
Key Probability of Default Drivers
Key Loss Severity Drivers
Other Considerations
Aggregators, Originators and Historical
Performance
Aggregator: DLJ Mortgage Capital, Inc.
Originators
Servicers and Master Servicer
Servicers
3
3
4
5
6
6
6
8
10
11
2 Rating Report – Structured Finance: U.S. RMBS
12
12
15
17
17
Master Servicer and Securities
Administrator
Master Servicer
Securities Administrator
Transaction Structure
Transaction Diagram
Cash Flow Structure and Features
Cash Flow Analysis
Rating Category Analysis
Third-Party Due Diligence
Representations and Warranties
Enforcement Mechanism
DLJMC Backstop
New Penn Guarantor
DBRS Viewpoint
Rule 17g-7 Report
Methodologies Applied
Monitoring and Surveillance
19
19
20
20
20
21
23
24
24
25
25
26
26
26
27
27
27
CSMC 2015-WIN1
Report Date:
January 28, 2015
Transaction Summary
DBRS, Inc. (DBRS) has finalized provisional ratings on CSMC Trust 2015-WIN1 (CSMC 2015-WIN1 or the
Trust), a securitization of a portfolio of prime residential mortgages funded by the issuance of mortgage
pass-through certificates. The certificates are backed by 525 loans with a total principal balance of
$381,595,526 as of the Cut-Off Date.1 The mortgage loans were acquired by DLJ Mortgage Capital, Inc.
(DLJMC).
The originators for the mortgage pool are New Penn Financial, LLC (New Penn, 20.2%), Quicken Loans Inc.
(Quicken, 19.3%), Caliber Home Loans, Inc. (Caliber, 7.6%) and various other originators, each comprising
less than 5.0%.
The loans will be serviced by Select Portfolio Servicing, Inc. (SPS, 68.8%), New Penn doing business as
Shellpoint Mortgage Servicing (SMS, 20.2%), Fifth Third Mortgage Company (4.8%), PHH Mortgage
Corporation (PHH, 3.7%), First Republic Bank (First Republic, 1.5%) and EverBank (0.9%). Wells Fargo
Bank, N.A. (Wells Fargo) will act as the Master Servicer and Securities Administrator. Deutsche Bank
National Trust Company will act as Custodian.
The transaction employs a senior-subordinate shifting-interest cash flow structure that is enhanced from
a pre-crisis structure.
Strengths
(1) High-Quality Credit Attributes: This transaction exhibits high-quality credit attributes such as low
loan-to-value (LTV) ratios, strong borrower credit and full documentation on substantially all
loans. In addition, the pool contains no interest-only (IO) loans.
(2) Well-Qualified Borrowers: The mortgage loans in the transaction were generally originated to
high-income borrowers with significant reserves on average, primarily through retail channels.
The loans that are subject to the Qualified Mortgage (QM) and Ability-to-Repay (ATR) rules are
categorized as QM Safe Harbor.
(3) Satisfactory Third-Party Diligence Review: Third-party due diligence firms conducted property
valuation, credit and compliance reviews on 100% of the loans in the pool. Data integrity checks
were also performed on the pool.
(4) Structural Enhancements: Compared with a pre-crisis shifting-interest structure, this transaction
employs several structural enhancements:
 A subordination floor is present to address tail risk and retain credit support.
 In the event of a servicer loan modification, the reimbursement of servicing advances would
be reduced only from the principal distribution amount in reverse order of priority. The
advance reimbursements may not result in reductions in interest distribution payments.
(5) 100% Current Loans: All loans are current as of the Cut-Off Date. Except for 22 loans that had
previous servicing transfer-related payment disruptions, no loan has had prior delinquencies in
the past 12 months.
1. The collateral description and disclosure on the mortgage loans in this report reflect the approximate aggregate characteristics as
of the Cut-Off Date.
3 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Challenges and Mitigating Factors
(1) Entities with Weak Financials or Limited Securitization History: Some of the originators in the
transaction may have limited history in prime jumbo securitizations and/or may potentially
experience financial stress that could result in the inability to fulfill repurchase obligations as a
result of breaches of representations and warranties. DBRS notes the following mitigating
factors:
 The mortgage loans (except for First Republic-originated loans) benefit from representations
and warranties backstopped by DLJMC, a wholly owned subsidiary of Credit Suisse (USA),
Inc. (Credit Suisse), in the event of an originator’s bankruptcy or insolvency proceeding and if
the originator fails to cure, repurchase or substitute loans for such breach. The backstop is,
however, subject to certain sunset provisions described further in this report.
 The loans in this transaction were aggregated by DLJMC. The performance of the recent
DLJMC prime jumbo securitizations, though limited in history, has been satisfactory to date.
 Third-party due diligence was conducted on 100% of the loans included in the pool. A
comprehensive due diligence review mitigates the risk of future representations and
warranties violations.
 DBRS adjusted the originator scores downward for certain originators (i.e., originators for
whom DBRS has not performed or has not recently performed an operational risk
assessment as set forth in DBRS’s rating methodology) to account for the potential inability
to fulfill repurchase obligations or because of their lack of performance history. A lower
originator score results in increased default and loss assumptions, providing additional
cushions for the rated securities.
(2) Representations and Warranties Standard: Although the originators do provide traditional
lifetime representations and warranties to the Trust, the backstop provided by DLJMC includes
sunset provisions on two individual representations and warranties with respect to underwriting
and fraud. Some mitigating factors include the following:
 Excluding the sunset provisions of the DLJMC backstop on underwriting and fraud, the
representations and warranties standard for this transaction has many positive features:
(a) Lifetime originator representations and warranties.
(b) Automatic breach review by an independent reviewer on any seriously delinquent loan.
(c) Disputes related to breaches may be ultimately settled by arbitration proceedings.
(d) Sunset provisions for the backstop give consideration to prior loan performance.
 Third-party due diligence was conducted on 100% of the pool, diminishing the risk of future
representations and warranties violations.
 DBRS assigned additional penalties and adjusted certain loan attributes based on third-party
due diligence results to provide added cushion in its expected losses analysis.
(3) Certain Servicers’ Financial Capability: Although operationally sound, certain servicers may face
financial difficulties in fulfilling their servicing advance obligations in the future. Consequently,
the transaction employs Wells Fargo as the Master Servicer. Wells Fargo is rated AA (high) by
DBRS. If a servicer fails its obligation to make advances, Wells Fargo will be obligated to fund
such principal and interest servicing advances.
The above strengths and challenges, along with other transaction details, are discussed in depth in the
relevant sections of this report.
4 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Transaction Parties and Relevant Dates
Transaction Parties
Type
Issuing Entity
Sponsor and Seller
Depositor
Originators
Servicers
Master Servicer and Securities
Administrator
Trustee
Custodian
New Penn Guarantor
Relevant Dates
Type
Cut-Off Date
Closing Date
Payment Date
Final Scheduled Distribution Date
5 Rating Report – Structured Finance: U.S. RMBS
Name
CSMC Trust 2015-WIN1
DLJ Mortgage Capital, Inc.
Credit Suisse First Boston Mortgage Securities Corp.
New Penn Financial, LLC – 20.2%
Quicken Loans, Inc. – 19.3%
Caliber Home Loans, Inc. – 7.6%
Other Originators – 52.8%
Select Portfolio Servicing, Inc. – 68.8%
Shellpoint Mortgage Servicing – 20.2%
Fifth Third Mortgage Company – 4.8%
PHH Mortgage Corporation – 3.7%
First Republic Bank – 1.5%
EverBank – 0.9%
Wells Fargo Bank, N.A.
Christiana Trust, a division of Wilmington Savings Fund
Society, FSB
Deutsche Bank National Trust Company
Shellpoint Partners LLC
Date
January 1, 2015
January 28, 2015
The 25th of each month or the next succeeding business day,
commencing in February 2015.
The payment date in December 2044.
CSMC 2015-WIN1
Report Date:
January 28, 2015
Rating Rationale
The DBRS, Inc. (DBRS) rating of the certificates addresses the timely payment of interest and full payment
of principal (excluding IO classes) by the legal final maturity date in accordance with the terms and
conditions of the certificates. DBRS based the rating primarily on the following:
 The transaction's capital structure and the form and sufficiency of available credit enhancement.
 Relevant credit enhancement in the form of subordination. Credit enhancement levels are
sufficient to support DBRS-projected expected cumulative loss assumptions under various
stressed cash flow assumptions for the rated classes.
 The ability of the transaction to withstand stressed cash flow assumptions and repay investors
according to the terms of the transaction documents.
 The originators’ and servicers’ capabilities with respect to originations, underwriting, servicing and
financial strength.
 The credit quality of the collateral and ability of the servicers to perform collection activities on
the collateral pool.
 The legal structure and presence of legal opinions addressing the assignment of the assets to the
Issuer and consistency with the DBRS Legal Criteria for U.S. Structured Finance.
 DBRS’s ratings do not address the likelihood that there may be interest shortfalls as a result of the
occurrence of extraordinary trust expenses in any given month.
Credit Analysis Details
Collateral Description and Comparison
The table below highlights the key collateral characteristics, expected losses and performance to date for
recent DBRS-rated prime jumbo transactions issued under the CSMC shelf.
Collateral Comparison (at Closing) 2
Number of Loans
Outstanding Pool
Balance
Original Pool Balance
CSMC
2015-WIN1
525
CSMC
2014-WIN2
511
CSMC
2014-WIN1
561
CSMC
2014-IVR3
526
CSMC
2014-IVR2
364
CSMC
2014-SAF1
413
$381,595,526
$371,446,783
$404,621,027
$363,625,272
$271,727,984
$297,364,274
$383,816,557
$373,681,435
$410,813,783
$367,263,786
$275,112,236
$300,740,561
Average Loan Balance
$726,849
$726,902
$721,250
$691,303
$746,505
$720,010
4.170%
4.304%
4.232%
4.558%
4.347%
4.649%
766
769
768
768
767
764
WA Original CLTV
71.4%
73.2%
71.4%
72.3%
70.4%
71.5%
WA DTI Ratio
33.2%
32.9%
32.1%
32.6%
32.2%
33.4%
Pool Attributes
WA Coupon
WA FICO
WA Seasoning
4 months
4 months
4 months
4 months
8 months
5 months
Piggyback Seconds
2.2%
3.7%
4.0%
6.4%
6.4%
7.4%
Interest Only
0.0%
0.0%
0.0%
2.7%
0.0%
4.1%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
63.0%
54.9%
63.5%
69.9%
61.7%
26.5%
5.1%
10.7%
9.1%
5.1%
10.2%
17.1%
Fixed Rate
Origination Channel
Retail
Correspondent
2. All characteristics regarding the collateral in this table or in this report reflect the attributes that DBRS used in its credit analysis as
of the Cut-Off Date and may not conform to the disclosure in the transaction documents. Certain attributes, including FICO, LTV and
documentation types, have been adjusted based on the DBRS review of the third-party due diligence results, Case-Shiller and other
relevant assessments, as described further in the related sections.
6 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
CSMC
2015-WIN1
32.0%
CSMC
2014-WIN2
34.4%
CSMC
2014-WIN1
27.4%
CSMC
2014-IVR3
25.1%
CSMC
2014-IVR2
28.1%
CSMC
2014-SAF1
56.4%
94.7%
95.8%
94.8%
90.5%
96.4%
93.7%
5.2%
4.2%
5.2%
5.8%
3.6%
5.5%
0.2%
0.0%
0.0%
3.7%
0.0%
0.8%
Purchase
65.7%
68.6%
59.3%
55.2%
38.4%
49.3%
Rate/Term Refinance
29.3%
25.6%
33.3%
38.6%
54.3%
40.7%
5.0%
5.8%
7.4%
6.2%
7.3%
9.9%
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
99.0%
99.9%
99.7%
98.8%
98.3%
98.0%
93.3%
92.4%
92.2%
91.2%
97.0%
95.0%
1.3%
2.6%
1.8%
2.4%
0.4%
2.5%
5.4%
5.0%
6.0%
6.4%
2.6%
2.4%
99.2%
98.1%
77.1%
56.2%
1.2%
N/A
0.0%
0.0%
0.0%
0.0%
0.0%
N/A
0.0%
0.0%
0.0%
0.0%
0.0%
N/A
0.8%
1.9%
22.9%
43.8%
98.8%
100.0%
49.4% (CA)
49.8% (CA)
45.7% (CA)
48.3% (CA)
49.6% (CA)
47.7% (CA)
Pool Attributes
Broker
Occupancy
Primary
Residence
Second Homes
Investor-Owned
Loan Purpose
Cash-Out Refinance
Documentation Type
Issuer-Defined
Full Documentation
DBRS-Defined
Full Documentation3
Property Type
Single Family
(incl. PUD & TH)
2-to-4 Family
Condo and Co-Op
Qualified Mortgage Designation
QM Safe Harbor
QM Rebuttable
Presumption
Non-QM
Not Subject to QM
Geographic Concentration
State 1
State 2
5.7% (FL)
3.9% (FL)
7.5% (FL)
7.4% (FL)
4.1% (AZ)
5.8% (FL)
State 3
4.3% (MA)
3.7% (VA)
4.1% (TX)
5.5% (TX)
3.8% (NY)
5.5% (NY)
20.2% (New
Penn)
19.3%
(Quicken)
7.6% (Fifth
Third)
22.5% (New
Penn)
18.8%
(Quicken)
11.6% (Fifth
Third)
23.1%
(New Penn)
20.3%
(EverBank)
19.8%
(Quicken)
33.2%
(Quicken)
13.1%
(Fifth Third)
25.5%
(New Penn)
20.4%
(Prospect)
15.5%
(Quicken)
76.0%
(New Penn)
24.0% (Other
Originators)
Servicer 1
68.8% (SPS)
52.9% (SPS)
52.3% (SPS)
69.0% (SPS)
89.3% (SPS)
74.2%
(Resurgent)
Servicer 2
20.2% (SMS)
22.5% (SMS)
22.9% (SMS)
13.1% (Fifth
Third)
8.7%
(Resurgent)
25.0% (SPS)
Servicer 3
4.8% (Caliber)
11.6% (Fifth
Third)
20.3%
(EverBank)
10.7% (FRB)
2.0% (PHH)
0.5% (PHH)
Originators (Top 3)
Originator 1
Originator 2
Originator 3
10.7% (FRB)
N/A
Servicers (Top 3)
Loss Expectation at Closing
AAA (sf)
6.70%
6.65%
5.85%
7.10%
6.25%
7.90%
B (sf)
0.55%
0.55%
0.50%
0.60%
0.55%
0.70%
99.8%
100.0%
100.0%
100.0%
99.7%
Performance (as of December 26, 2014)
Current
N/A
3. Certain documentation types have been adjusted based on DBRS’s review of the third-party due diligence results.
7 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Pool Attributes
CSMC
2015-WIN1
CSMC
2014-WIN2
CSMC
2014-WIN1
CSMC
2014-IVR3
CSMC
2014-IVR2
CSMC
2014-SAF1
N/A
0.2%
0.0%
0.0%
0.0%
0.0%
30-Day Delinquent
60+-Day Delinquent
4
N/A
0.0%
0.0%
0.0%
0.0%
0.3%
Senior Original CE
7.65%
8.00%
7.65%
8.00%
7.20%
8.85%
Senior Current CE
N/A
8.12%
8.24%
9.80%
8.18%
10.35%
DBRS uses its proprietary RMBS Insight model to derive probability of defaults, loss severities and
expected losses for the CSMC 2015-WIN1 portfolio. The figures below represent the probability of
defaults, loss severities and expected losses on the portfolio, generally rounded up from the raw model
results.
DBRS Default Probability, Loss Severity and Expected Loss for CSMC 2015-WIN1
Rating
Probability of Default
Loss Severity
AAA (sf)
AA (sf)
A (sf)
BBB (sf)
BB (sf)
B (sf)
14.99%
13.07%
10.52%
7.37%
4.37%
2.56%
44.71%
41.32%
37.55%
33.23%
28.58%
21.48%
Expected Loss
6.70%
5.40%
3.95%
2.45%
1.25%
0.55%
Key Probability of Default Drivers
LTV Ratio and Future Equity
For certain more seasoned loans where updated valuations are not provided, DBRS indexed the original
property values using the Case-Shiller home price indices (Case-Shiller) within their proper price tiers
(when price tiers are available). However, property appreciation is not generally awarded.
The DBRS-calculated weighted-average (WA) original combined LTV (CLTV) of 71.4% suggests that
borrowers have considerable equity in their homes. Approximately 2.2% of the pool has piggybacks, and
these loans represent a slightly higher WA original CLTV of 73.4%. There are no second liens included in
this pool.
DBRS calculates future equity (in two years) for every loan using its metropolitan statistical area (MSA)level base house price forecast model and applies additional market value decline (MVD) assumptions by
rating category (described further in the Key Loss Severity Drivers section). The top three MSAs in this
pool are Los Angeles-Long Beach-Glendale, California (11.3% of the pool); Oakland-Fremont-Hayward,
California (7.2% of the pool); and Santa Ana-Anaheim-Irvine, California (6.5% of the pool). When forecast
over a two-year horizon, the DBRS-projected CLTV at the B rating level equals 66.4%, representing sizable
equity after base home price forecasts and MVD stresses.
Borrower Credit
The WA FICO score of 766 indicates strong borrower credit profiles. Approximately 7.3% of the loans have
FICOs lower than 720 and 8.2% have FICOs of 800 or higher. When underwriting the loans, the originators
typically used the middle of three scores or lower of two scores.
4. This bucket includes 60-day and more serious delinquencies, loans in foreclosure and bankruptcy, as well as REO properties.
8 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Clean Payment Histories
The pool is on average four months seasoned, with a maximum age of nine months. The payment
histories on the loans are substantially clean. Except for 22 loans that had previous servicing transferrelated payment disruptions, no loan has had prior delinquencies since origination. DBRS does not
generally treat servicing transfer-related payment disruptions as delinquencies in the loss model.
Documentation Type
Of the loans in the Trust, 100.0% were underwritten to a full documentation standard. In addition, 92.0%
were either (1) loans to wage-earners underwritten with 24 months or more of income verification or (2)
loans to self-employed borrowers underwritten with 24 months or more of income verification and
included a CPA Certification of the tax returns (Income Level 5, according to the American Securitization
Forum standard) and had full asset and employment verification as well. After reviewing the third-party
due diligence results, DBRS considers 1.0% of the loans in the pool to not have full documentation and, as
a result, assumed less than full documentation for these loans in its analysis.
While full documentation varies slightly among the originators, it generally consists of:
 Two years of W-2 forms and pay stub(s) with year-to-date earnings.
 Verification of employment.
 Signed and executed IRS 4506-T form.
 Verification of deposit or two months of bank statements for closing funds and reserves.
In addition, the borrowers are expected to have been current on their prior mortgage (or rental)
payments for at least 12 to 24 months.
Product Type
The collateral pool consists of 100.0% fixed-rate first-lien mortgages generally with an original term to
maturity of 30 years. None of the loans have IO features. Fully amortizing fixed-rate loans generally pose
the lowest default risk, given the stability in monthly payments.
Occupancy (Percentage of Second Homes and Investment Properties)
Approximately 5.2% and 0.2% of the loans are to finance second homes and investment properties,
respectively. These loans represent slightly higher default risk (1.2x to 1.8x penalty) relative to owneroccupied loans. However, the liquid reserves for the second-home borrowers are much higher, with
reserves of $931,114. Also, the LTV ratio of 59.6% for the investment property loan is much lower. The
second home and investment property borrowers have total annual incomes of $453,204 and $126,951,
respectively.
Geographic Concentration and Large Loans
The CSMC 2015-WIN1 pool has relatively moderate geographic composition, with California representing
49.4% of the pool and the top three states representing 59.4%. The average loan size of $726,849, while
elevated, is not considered significant for a non-conforming pool, given that the maximum conforming
loan limit for high-cost areas is as high as $625,500 for single-family homes.
DBRS measures concentration risk by a Herfindahl index calculated on both a geographic (MSA-level) and
loan-size basis. The concentration measure, along with credit quality, derives the level of asset
correlation, which is an important factor in the determination of rating category stresses.
Compared with other recent DBRS-rated prime jumbo securitizations in the market, the asset correlation
for this portfolio suggests a comparable level of concentration.
9 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Key Loss Severity Drivers
DBRS calculates loss severity as follows:
(1) A recovery value is estimated from the statistical recovery model. In order to derive a recovery
value, DBRS first estimates an updated property value at liquidation, which includes the following
considerations:
 The number of months each subject loan takes to migrate through the delinquency,
foreclosure and real estate owned (REO) timeline.
 MSA-level base home price forecast.
 MVD stress by rating category.
 Distressed sale discount of 30.8%.
 Further adjustment based on borrower and property characteristics.
(2) Interest advancing (through liquidation) is subtracted from the recovery.
(3) Loss is calculated as the shortfall of recovery to loan balance outstanding.
Base Home Price Forecast (MSA Level)
DBRS developed its own home price forecast model, built to estimate the expected level of house prices,
as well as their distribution, which can then be used to predict future MVDs. Using the series level CaseShiller index, the real home prices are calculated as the ratio of the house price index to the consumer
price index (CPI; January 2002 = 100). The model separates real house price movements into two
components: the direction of the movement and its magnitude. The direction of the movement is
modeled using logistic regression. The factors in the model are (1) the real house price index, (2) an
indicator that the series is volatile and (3) whether the series is currently in an overheated state. The
magnitude of the quarterly movement is modeled as a Weibull distribution with a mean that matches the
mean of the series.
Market Value Decline (by Rating Level)
DBRS applies an MVD to all property values ranging from 27.0% in the AAA scenario to 4.0% in the B
scenario and to all rating levels.
Distressed Sale Discount
DBRS applies a 30.8% haircut to the updated property values. This haircut is meant to address property
sales in a liquidation scenario, which often represent distressed sales and therefore beaten-down prices.
The value, one of the terms of the recovery model, has been estimated from past liquidations. In addition,
the haircut also includes liquidation costs, such as maintenance, repairs, attorney and real estate agent
fees, etc.
Further Property Value Adjustment (Generally Negative)
Once the distressed sale discount is applied, further value adjustments, calculated based on the updated
property value, are made based on the following characteristics. These adjustments are generally
negative:
 Expensive and inexpensive properties.
 Months in REO.
 Property type.
 Occupancy.
 FICO.
 Months since loan origination.
 Property state.
10 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
These adjustments are made because each has a significant impact on the actual recovery percentage.
Based on DBRS’s analysis, each month in REO reduces the recovery amount by 1.8%. Expensive and
inexpensive properties tend to recover less as a percentage of updated property value. Two property
types are called out as different: manufactured homes and multi-unit, each of which produces lower
recoveries, but neither exist in this pool. Investor homes and second homes have reduced recovery rates.
Homes associated with higher-FICO borrowers have improved recovery rates. Recovery declines with
increased time since loan origination. Additionally, a handful of states (Ohio, Illinois, Pennsylvania and
Michigan) have reduced recovery rates.
Advancing (Calculated Based on the Note Rate at a State Level)
The servicers are obligated to advance for principal and interest for delinquent mortgages as long as such
advances are deemed recoverable. If the servicers fail in their obligations to advance, the master servicer
will be obligated to fund such principal and interest servicing advances.
Given the expected performance of a prime pool, as well as the financial strength of the servicers and/or
the master servicer, DBRS assumes that principal and interest servicer advancing would occur and
continue through liquidation.
Interest advancing at the note rate is included in the loss severity calculation. In the B base-case scenario,
the number of months’ interest that is advanced follows the DBRS-derived state-by-state timeline. For each
rating level higher than B, two incremental months are added to the timeline of the previous rating category.
Qualified Mortgage Treatment
Certain mortgage loans (99.2% of the pool) had loan application dates on or after January 10, 2014, and
are subject to the QM and ATR rules issued by the Bureau of Consumer Financial Protection (CFPB) as part
of the Dodd–Frank Wall Street Reform and Consumer Protection Act. These loans are designated as QM
Safe Harbor, which mitigates future litigation risk and provides a level of assurance that these loans are
better insulated from claims and defenses by borrowers. DBRS assumes that a QM Safe Harbor borrower
will not file an ATR claim and, consequently, does not apply any additional loan-level loss severity
adjustments. A third-party due diligence firm confirmed the correct QM designation for these loans and
reviewed them for compliance with the QM and ATR rules.
Other Considerations
Borrower Income and Liquid Reserves
For the entire pool, the (non-zero) WA primary borrower income exceeds $268,000 annually. For the
entire pool, the WA liquid reserves for the loans are approximately $348,000, which is enough to cover
over seven years of monthly mortgage payments. On average, 8.3% of the loans have liquid reserves
higher than their current loan balance.
Multiple Loans to a Single Borrower
Approximately 45.2% of the borrowers have more than one mortgaged property. Borrowers with three or
more mortgages (with a maximum of five) represent 13.8% of the pool and generally show considerable
income and liquid reserves. The WA DTI ratio for borrowers with multiple properties is 34.7%, slightly
above the overall DTI ratio for the entire pool of 33.2%. For borrowers with multiple mortgages, there are
no instances where more than one of their mortgages have been included in this securitization.
Self-Employed Borrowers
Approximately 21.8% of the loans are to self-employed borrowers. Compared with the salaried borrowers
in the pool, the self-employed borrowers have lower CLTVs, higher income and higher reserves.
As confirmed by third-party due diligence, when underwriting the self-employed loans, all loans had at
least two years of personal or business tax returns from either a borrower or a co-borrower. CPA
certifications were provided by approximately 57.5% of the self-employed borrowers.
11 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Aggregators, Originators and Historical Performance
Report Date:
January 28, 2015
Aggregator: DLJ Mortgage Capital, Inc.
DLJMC Whole-Loan Acquisition Channel (DLJMC Conduit)
The loans were acquired by DLJMC through its whole-loan acquisition channel from various originators.
All the loans in this portfolio were purchased either on a flow or bulk basis. DBRS conducted a review of
DLJMC’s financial capability and conduit operation. A private rating was assigned to DLJMC based on the
review of its financial statements and the historical significance of the operation to Credit Suisse. DBRS
believes that DLJMC has sufficient financial strength to backstop the repurchase obligations arising from
breaches of representations and warranties for its conduit loans.
Originator Review Process and Monitoring (Flow)
DLJMC began acquiring mortgage loans from PHH in July 2010 and subsequently established relationships
with other lenders. DLJMC performs an on-site review of each of the originators that includes the
financial capability (including tangible net worth and historical repurchase activities relative to equity),
company background, senior management, business strategy, origination process, underwriting,
technology and quality control. With each originator, DLJMC enters into a mortgage loan purchase
agreement that specifies various contract terms, including the sale and transfer, administration and
servicing (if applicable) of the mortgage loans, as well as representation and warranty provisions.
As part of its monitoring process, DLJMC conducts an annual review of each of the originators in its
conduit program, which substantially covers the same items as the initial review.
Loan Acquisition and Third-Party Due Diligence (Flow)
At loan acquisition, one or more third-party due diligence firms perform reviews on credit, compliance,
data integrity and property valuation analysis.
Appraisals are reviewed on a pre-closing, pre-funding basis. The originator sends appraisals directly to the
third-party due diligence firm. An appraisal goes through several layers of valuation reviews, if needed,
including enhanced desk reviews and field reviews (if applicable).
Credit and compliance due diligence is conducted on a post-closing, pre-funding basis and generally
encompasses document inventory, guideline standards, data analysis and verification, credit risk
evaluation, fraud check and compliance review. Based on the relevant documents in the loan files, the
due diligence firm (1) evaluates mortgage loans for the borrower’s willingness and ability to repay the
obligation; (2) re-calculates income, liabilities, DTI and LTV ratios; (3) confirms credit scores and histories
were within origination guidelines; (4) examines income, employment, assets and occupancy for
reasonability; (5) reviews occupancy checks by using available fraud prevention tools; and (6) tests to
verify QM and ATR status.
Third-party due diligence was performed on 100% of the DLJMC conduit loans. DBRS adjusted property
valuations and other attributes as appropriate based on the due diligence results.
12 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Underwriting Criteria
DBRS analyzed the following key areas of the underwriting guideline overlays provided by DLJMC. The
guidelines may vary slightly, but generally conform to the following standards:
(1) Income and employment verification
For a salaried borrower:
 Two years of W-2 forms.
 A pay stub with YTD earnings.
 Verbal verification of employment (VVOE) required within ten calendar days.
 A 4506-T form is required to be signed and executed, allowing the lender to request a tax
transcript from the IRS.
For self-employed:
 Two years of personal returns.
 Two years of business tax returns (for borrowers with 25% or more ownership interest).
 VVOE required within 30 calendar days.
 A 4506-T form is required to be signed and executed, allowing the lender to request a tax
transcript from the IRS.
(2) Asset verification
Full verification of assets for closing funds and reserves, including two months of statements or the
most recent quarterly statement.
(3) Reserve requirement
Minimum reserve of six months to 36 months of loan payments, depending on the loan amount, for
owner-occupied homes and minimum 12 months to 48 months of loan payments, depending on the
loan amount, for borrowers securing loans on second homes are required. For borrowers with more
than two financed properties, six months additional reserves are required for each additional property.
(4) Credit report/score
Credit reports/scores must be current (within the last 90 days). The middle of three scores or lower of
two scores is applied. The lowest of all borrowers’ scores is used.
(5) Prior mortgage delinquency
Borrower must be 0x30 delinquent in the prior 24 months. Borrowers with prior bankruptcy,
foreclosure, short sales or deeds in lieu are not allowed.
(6) Appraisal
Two appraisals are required for loans greater than $1 million for refinance transactions and
$1.5 million for purchase transactions. All appraisals must include interior photos. Appraisals are only
good for 120 days. The lesser of the original purchase price or new appraised value, if the property is
owned for less than 12 months, will be used.
(7) Maximum LTV, DTI, cash-out amount and minimum credit score
The maximum LTV, DTI, cash-out amount and minimum credit score will vary by loan amount,
property type, purpose and occupancy.
(8) Trade lines
A borrower(s) credit profile must include a minimum of three open trade lines. One trade line must
be open and active for 24 months, another must be an installment or mortgage account and the
remaining trade line must be rated for 12 months. Certain compensating factors on longer credit
histories or higher reserves can be considered without the loan being viewed as an exception.
(9) Subordinate financing
New subordinate financing is allowed, subject to LTV/CLTV maximums.
13 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Historical Performance
Since the program’s inception, the DLJMC conduit has executed 18 securitizations to date. The loans
included in the securitizations are substantially current.
Historical Performance of DLJMC Conduit Securitizations
CSMC
CSMC
CSMC
CSMC
2015-WIN1 2014-WIN2 2014-WIN1 2014-IVR3
Closing Date
Loan Count at Issuance
Outstanding Balance at Issuance
CSMC
2014-IVR2
CSMC
2014-SAF1
CSMC
2014-IVR1
Jan 20155
Nov 2014
Aug 2014
Jul 2014
Apr 2014
Feb 2014
Jan 2014
525
511
561
526
364
415
398
$382MM
$371MM
$405MM
$363MM
$271MM
$300MM
$287MM
Securitization Performance (as of December 26, 2014)
Current
N/A
99.8%
100.0%
100.0%
100.0%
99.7%
99.8%
30-Day Delinquent
N/A
0.2%
0.0%
0.0%
0.0%
0.0%
0.2%
60+-Day Delinquent6
N/A
0.0%
0.0%
0.0%
0.0%
0.3%
0.0%
Cumulative Realized Loss
N/A
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
CSMC
2013-IVR5
CSMC
2013-7
CSMC
2013-6
CSMC
2013-IVR4
CSMC
2013-IVR3
CSMC
2013-HYB1
Nov 2013
Aug 2013
Jul 2013
Jun 2013
May 2013
Jun 2013
398
536
808
530
430
382
$302MM
$399MM
$597MM
$407MM
$336MM
$428MM
100.0%
100.0%
100.0%
100.0%
100.0%
100.0%
30-Day Delinquent
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
60+-Day Delinquent6
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
Cumulative Realized Loss
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
CSMC
CSMC
2013-IVR1 2013-TH1
CSMC
2012-CIM37
CSMC
2012-CIM2
CSMC
2012-CIM1
Closing Date
Loan Count at Issuance
Outstanding Balance at Issuance
Securitization Performance (as of December 26, 2014)
Current
CSMC
2013-IVR2
Closing Date
Apr 2013
Mar 2013
Feb 2013
Nov 2012
Jun 2012
Mar 2012
478
488
555
408
476
844
$393MM
$389MM
$428MM
$329MM
$425MM
$742MM
100.0%
100.0%
99.8%
99.6%
99.6%
99.7%
30-Day Delinquent
0.0%
0.0%
0.2%
0.4%
0.0%
0.3%
60+-Day Delinquent6
0.0%
0.0%
0.0%
0.0%
0.4%
0.0%
Cumulative Realized Loss
0.0%
0.0%
0.0%
0.0%
0.0%
0.04%
Loan Count at Issuance
Outstanding Balance at Issuance
Securitization Performance (as of December 26, 2014)
Current
5. This date represents the expected closing date of the transaction.
6. This bucket includes 60-day and more serious delinquencies, loans in foreclosure and bankruptcy and REO properties.
7. This transaction was not rated by DBRS.
14 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Originators
New Penn Financial, LLC
New Penn is the originator of approximately 20.2% of the loans in this transaction. DBRS performed an
on-site review of New Penn’s origination platform and believes the company to be an acceptable
mortgage loan originator.
Headquartered in Plymouth Meeting, Pennsylvania, New Penn has been in business since 2008 and
became a wholly owned subsidiary of Shellpoint Partners LLC (Shellpoint) in June 2011. New Penn
originates prime residential mortgage loans using a centrally controlled underwriting, processing and
fulfillment infrastructure through consumer direct channels, retail offices and financial intermediaries
(including community banks, credit unions, mortgage bankers and brokers). In 2013, New Penn originated
approximately $5.7 billion residential mortgage loans and $1.8 billion as of Q2 2014.
New Penn has a highly experienced executive management team averaging over 20 years of industry
experience. As of July 31, 2014, New Penn employed approximately 860 full-time equivalents (FTEs) in its
origination business. This represents a decrease in origination personnel since Q1 2013 of approximately
26%, reflecting a strategic scaling down of personnel to reflect decreased industry volumes over the last
year.
The third-party origination business sources loans through mortgage broker and correspondent
relationships. Overall, the company has 49 offices located in 24 states, geographically dispersed
throughout the country. The company has four third-party origination operations centers located in three
states. The company’s retail channel comprises a combination of branches and call centers concentrated
in strategic markets across the country, with a total of 38 retail branch offices and 13 retail call centers
located in 24 states.
New Penn does not delegate non-agency loan underwriting within any channel. The company maintains
an experienced underwriting staff of approximately 77 FTEs, with non-agency loan approved underwriters
averaging approximately seven years of industry experience. Lending authority is issued when an
underwriter completes a system and process training, a test case process under a mentor and both the
Chief Credit Officer and business channel Underwriting Manager certify lending authority. Credit authority
is granted based on performance and review of the loans underwritten. Any non-agency exceptions must
be reviewed and approved by the Chief Credit Officer (and may also be subject to additional review by
other senior management) and documented in the related file.
New Penn has reliable fraud detection processes with imbedded interfaces directly to its loan origination
system. All loans are run through CoreLogic’s LoanSafe Fraud Manager (LoanSafe), which verifies data and
flags fraud-related items that need to be resolved by the underwriters prior to moving on to the next
approval process. LoanSafe will also provide an instant risk score with high-scoring loans requiring a more
stringent review by the underwriters. Any documentation received, regardless of source, is validated
through third-party verification. ComplianceEase is also run on every loan, in addition to other tools
designed to detect fraud and verify information. Additionally, the company receives a 4506-T form and an
IRS transcript on every non-agency loan (other than loans originated under its foreign national program),
and obtains independent verbal confirmation of employment on every loan wherever possible. If a verbal
confirmation is unavailable, a written confirmation is used.
15 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
New Penn maintains a focused appraisal management process. Many appraisals are managed by eStreet
Appraisal Management, a wholly owned subsidiary of Shellpoint, with separate reporting lines to the
parent company. New Penn underwriters review appraisals for all loans to determine accuracy and
acceptance of the final reports and may escalate the report for quality concerns or through an appraisal
escalation review process for value disputes. New Penn performs monthly reviews on each Independent
Appraisal Management Company (IAMC) and maintains appraisal review checklists on all appraisals to
ensure compliance. All properties are also evaluated using the CoreLogic Collateral Manager and
compared with appraisals.
New Penn maintains a highly developed control environment through its Board Risk Management
Committee (the Board), as well as its compliance, internal audit (IA), quality assurance, quality control (QC)
and vendor management processes. Risk management has a direct reporting line to the Shellpoint board of
directors. The Board meets quarterly to review key legal, compliance and IA findings, as well as consumer
issues. New Penn has an IA function led by the Director of Internal Audit, who is independent of operations
and compliance and reports directly to the head of risk management. The Board approves the IA plan. The
compliance team monitors changes in state and federal regulations through numerous compliance
management resources. New Penn employs a third-party QC firm to perform the post-closing QC process,
which focuses on a core document review. Additionally, at closing, a call is conducted with every borrower
(except for correspondent loans) to verify the customer and undisclosed liabilities, as well as to confirm the
loan terms. These calls are recorded. Management reports that there is no litigation, either individually or in
the aggregate, that will have a material impact on the financial stability of the company.
Quicken Loans Inc.
Quicken is the originator of approximately 19.3% of the loans in this transaction. DBRS performed a
review of Quicken’s origination platform and deems the company to be an acceptable mortgage loan
originator.
Quicken is a centralized retail originator, using the Internet and web center as its primary marketing and
communication medium. The company is headquartered in Detroit with three web call centers located in
Scottsdale, Arizona; Southfield, Michigan; and Cleveland, Ohio. Additionally, the company has an office
located in Charlotte, North Carolina, for all origination support functions.
Quicken does not originate sizable volumes of jumbo product and management has indicated to DBRS that
jumbo originations are not a core focus for the company, and yet Quicken has been originating loans for more
than 29 years through its predecessor organizations and has demonstrated solid loan origination processes.
Quicken employs an experienced senior management team that averages over 21 years of industry
experience and nearly 17 years of company tenure. The company employs 10,000 FTEs, with more than
8,000 FTEs working in Detroit, and maintains an annualized turnover rate of 25%. Quicken does not
employ offshore resources, but actively uses a temporary staff of approximately 294 FTEs to manage
workflow expansions and contractions as market rates rise and fall. Quicken’s production for 2012 and
2013 was $69.8 billion and $79.9 billion, respectively. Higher interest rates and the resulting slowdown in
refinances have lowered Quicken’s 2014 production estimates to $60 billion.
Quicken regularly invests in technology upgrades to support its growth initiatives and maintains a solid
platform of proprietary origination systems with built-in compliance and investor rules. Quicken’s
technology initiatives are supported by an information technology (IT) staff of over 1,100 FTEs, with
integration into the business units to ensure understanding of the company’s critical processes.
Quicken maintains a focused control environment. The company implemented a newly created IA
function and continues to build out its audit staff. Quicken also employs focused QC reviews and
validation processes throughout its origination and post-closing activities.
16 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Caliber Home Loans, Inc.
Caliber is the originator of approximately 7.6% of the loans in this transaction. DBRS performed an on-site
review of Caliber’s origination platform and believes the company is an acceptable mortgage loan
originator.
In 2008, Lone Star Funds, a global private equity firm, purchased the mortgage servicing operations of CIT
Group Inc. (rebranded to Vericrest Financial) and the operating assets of Bear Stearns Residential
Mortgage Corporation (rebranded to Caliber Funding LLC). In August 2013, the two companies were
merged to form Caliber, a full-service mortgage banking organization.
The company is headquartered in Irving, Texas, and employs a highly experienced executive management
team that averages over 25 years of industry experience. Caliber is an approved and active Freddie Mac,
Fannie Mae and Ginnie Mae seller/servicer. As of June 2014, Caliber had over 2,500 employees, of which
over 1,400 are originations employees, across 87 sales locations and 19 operations centers nationwide.
Caliber originates loans across four channels: retail, wholesale, correspondent and consumer direct. The
distributed retail channel operates across 68 branches and 17 satellite locations nationwide. The majority
of Caliber’s jumbo prime product is originated through its retail channel. Caliber operates its wholesale
channel through account executives that source volume through mortgage brokers. Caliber does not
delegate underwriting in the wholesale channel. The company began its correspondent channel in 2013.
All loans sourced through the correspondent channel are reviewed by Caliber prior to purchase (all
jumbos are re-underwritten). The company targets 2014 origination volumes of over $13 billion across all
four channels.
Caliber’s underwriting staff average over ten years of industry experience. Caliber maintains solid training
processes with dedicated training staff for the delivery of job-specific training across the platform.
Caliber supports a focused control structure. QC reports to the Chief Risk Officer and IA reports to the
board of directors, both of which are separate from the business units. In addition to the 100% pre-closing
reviews performed by the closing/funding department, QC manages post-funding file reviews that are
performed by an independent third-party vendor for a total re-underwrite of loans on approximately 15%
of originations. Additionally all early payment default and first payment default loans are internally
audited by the QC department. All pre- and post-review findings are tracked and reported to
management on a monthly basis, along with action plan reports and root cause analysis.
Caliber maintains a solid technology environment. The company’s rules-based loan origination system is a
proprietary system with built-in interfaces for third-party vendors and is designed to manage the entire
loan origination process, from application through post-closing.
Other Originators
The CSMC 2015-WIN1 transaction also contains mortgage loans from other originators and, in accordance
with DBRS criteria, DBRS did not conduct an operational risk assessment on some of the originators
because of their relatively small contributions to the pool. However, third-party due diligence was
performed on 100% of the pool, which was reviewed by DBRS in detail.
Servicers and Master Servicer
Servicers
Select Portfolio Servicing, Inc.
SPS services approximately 68.8% of the loans in this transaction. DBRS performed an on-site review of
SPS and believes that the servicer has demonstrated acceptable mortgage servicing capabilities.
17 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
SPS is a financial services company specializing in the servicing and default management of residential
mortgage loans. SPS is a wholly owned subsidiary of Credit Suisse and has been servicing residential
mortgage loans for more than 20 years. The company operates its servicing platform from its
headquarters in Salt Lake City, Utah, and Jacksonville, Florida.
SPS has an experienced management team and staff to fully support its servicing strategies with a robust
and integrated technology platform, solid internal control environment and comprehensive training
programs for both new hires and ongoing staff. The company continues to maintain effective loan
administration and default management capabilities.
As of September 2013, SPS services a portfolio of over 350,000 loans with an unpaid principal balance of
nearly $70 billion. SPS employs approximately 1,480 FTEs and has maintained solid overall staff turnover
rates of approximately 12.5% as of Q3 2013. Additionally, SPS uses an offshore vendor with approximately
810 FTEs to perform back-office loan administration, default management and developer/technology
support processes. No customer-facing functions are performed offshore and the company does not
offshore 100% of any servicing function. SPS outsources its insurance and tax process to domestic
vendors.
SPS supports a focused approach in its collection and loss mitigation efforts. All customer service, primary
collections and loss mitigation associates are fully trained to discuss workout options with customers,
review and input financial information into SPS’s proprietary loss mitigation system and counsel
customers regarding workout options and monthly expenditures. SPS maintains reliable default
management staffing levels, with approximately 327 accounts per employee in early-stage collections and
86 accounts per employee in default servicing. SPS continues to sustain acceptable metrics for collection
call hold times and abandonment rates at 18 seconds and 1.0%, respectively.
SPS effectively uses proprietary technology to determine which type of modification or liquidation options
are available. If the customer has the willingness and ability to pay, home retention is promoted. If not, a
liquidation option is promoted.
Shellpoint Mortgage Servicing
SMS services approximately 20.2% of the loans in this transaction. DBRS recently performed an
operational risk review of SMS and believes that the company demonstrates acceptable mortgage
servicing capabilities.
On March 3, 2014, the technology, infrastructure and staff of Resurgent Mortgage Servicing were
acquired from Resurgent Capital Services L.P. (Resurgent) by New Penn and renamed Shellpoint Mortgage
Servicing. SMS provides third-party special servicing to select clients across all mortgage products,
including prime, subprime, special servicing, home equity lines of credit and jumbos. The company has
been servicing residential mortgage loans for over 15 years and operates its servicing platform from
Greenville, South Carolina, and Houston, Texas.
SMS has an experienced leadership team that averages nearly 25 years of industry experience and nearly
nine years of company tenure. The company maintains a robust technology platform with a high degree
of integration, a solid internal control environment and reliable training programs for both new hires and
ongoing staff. SMS has sophisticated loan administration and default management capabilities to fully
support its servicing strategies.
As of March 2014, SMS serviced a portfolio of over 90,000 loans with an unpaid principal balance (UPB) of
approximately $16.1 billion. SMS employs a servicing staff of approximately 275 FTEs and has access to a
staff of 80 IT professionals through a shared services agreement with Resurgent. The company maintained
turnover rates of 14% as of December 2013.
18 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
SMS supports a focused approach in its collection and loss mitigation efforts. Collection efforts begin
based on the customer’s pay history. Collection calls begin at three days past due for customers that have
paid after the late charge date within the last three months. For customers that have paid on or before
the late charge date for three consecutive months, collection calls begin at 11 days past due. SMS uses
both dialer and manual call campaigns based on the company’s analytics and investor-specific guidelines.
Loans one to 30 days past due are managed in a pooled environment. Once an account goes 31 days past
due, the loan moves into personal loan ownership. Accounts are referred to loss mitigation at 61 days
past due or earlier if they are identified as in imminent default where they are assigned a single point of
contact (SPOC). SMS maintains call metrics for hold times and abandonment rates at approximately 47
seconds and 3.9%, respectively.
SMS’s proprietary technology platform integrates core process management functions with customized
workflow processes, data warehouse capabilities and a robust analytics and reporting engine.
Fifth Third Bank
Fifth Third Bank is the servicer of approximately 4.8% of the loans in this transaction. DBRS performed a
review of Fifth Third Bank’s servicer platform and believes the company is an acceptable mortgage loan servicer.
Fifth Third Bank serviced approximately 562,000 single-family residential loans totaling $81.5 billion as of
June 30, 2014. The servicing is predominantly FNMA and FHLMC product done primarily out of its
platform in Madisonville, Ohio, with vendor employees in Costa Rica and Mexico for early-stage
delinquencies. The company employs a tenured staff of approximately 920 full-time servicing staff and
142 offshore contract collectors.
Fifth Third Bank utilizes proprietary scoring analysis in development of its calling campaigns and approach
to collection efforts. Collection strategies, which include early-, mid- and late-stage teams, focus on
properly resolving a borrower’s short-term or long-term issue, with an eye on reducing roll rates,
delinquency and losses, focusing strongly on regulatory compliance and oversight.
Calling strategies begin as early as three days past due and include a combination of auto-dialer calls,
manual calls, outreach letters and door knock representatives who visit homes personally. These efforts
continue through default. Loss mitigation tools include forbearance plans, repayment plans and
modifications. The workout eligibility analysis considers both hardship and a borrower’s capacity first,
with the hope that they can offer a retention option.
When all of the options above fail, the company utilizes deed-in-lieu, short sale and cash for keys to avoid
foreclosure. When Fifth Third Bank determines that maintaining ownership is not an option, it considers
disposition, with a focus on maximizing net proceeds and reducing its loss exposure. Deficiency notes are
negotiated and obtained whenever possible. Once a loan has been foreclosed, the company immediately
works to secure the property and assign it to an asset management firm. Currently, Fifth Third Bank has
approximately 730 real estate-owned assets in its portfolio totaling $116.4 million.
Master Servicer and Securities Administrator
Master Servicer
Wells Fargo, a wholly owned subsidiary of Wells Fargo & Company, acts as Master Servicer for CSMC
2015-WIN1. Wells Fargo & Company is a nationwide, diversified, community-based financial service
company with assets valued at $1.6 trillion. DBRS maintains a rating of AA (high) on the Deposits & Senior
Debt and a rating of R-1 (high) on the Short-Term Instruments of Wells Fargo, both with Stable trends.
DBRS performed an on-site review of Wells Fargo and believes that the company has demonstrated
adequate mortgage master servicing capabilities.
19 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
As a Master Servicer, Wells Fargo is responsible for the aggregation of monthly servicer reports and
remittances and for the oversight of the performance of the servicers under the terms of their respective
underlying servicing agreements. In particular, the Master Servicer independently calculates monthly loan
balances based on servicer data, compares its results with servicer loan-level reports and reconciles any
discrepancies with the servicers. The Master Servicer also reviews the servicing of defaulted loans for
compliance with the terms of the pooling and servicing agreement or the underlying servicer agreement,
as applicable. In addition, upon the occurrence of certain servicer Events of Default under the terms of
the servicing agreements and the pooling and servicing agreement, the Master Servicer may be required
to enforce certain remedies on behalf of the issuing entity against any such defaulting servicer. Wells
Fargo has been engaged in the business of master servicing since June 30, 1995. As of June 30, 2014,
Wells Fargo was acting as Master Servicer for approximately 1,797 series of residential mortgage-backed
securities (RMBS) with an aggregate outstanding principal balance of approximately $342,846,000,000.
Securities Administrator
Wells Fargo is also responsible for securities administration, which includes pool performance
calculations, distribution calculations and the preparation of monthly distribution reports. As Securities
Administrator, Wells Fargo is responsible for the preparation and filing of all real estate mortgage
investment conduit tax returns on behalf of the issuing entity. Wells Fargo has been engaged in the
business of securities administration since June 30, 1995. As of June 30, 2014, Wells Fargo was acting as
Securities Administrator with respect to more than $658,004,000,000 of outstanding RMBS.
As the Securities Administrator, Wells Fargo will perform, on behalf of the trustee, the duties of
authentication agent, calculation agent, paying agent and certificate registrar.
Transaction Structure
Transaction Diagram
Originators
New Penn Financial, LLC
Quicken Loans, Inc.
Caliber Home Loans, Inc.
Other Originators
Trustee
Christiana Trust, a
division of Wilmington
Savings Fund Society,
FSB
Servicers
Select Portfolio Servicing Inc.
Shellpoint Mortgage Servicing
Fifth Third Mortgage Company
PHH Mortgage Corporation
First Republic Bank
EverBank
Master Servicer and Securities
Administrator
Wells Fargo Bank, N.A.
Seller
DLJ Mortgage Capital, Inc.
Class A Certificates
Depositor
Credit Suisse First Boston
Mortgage Securities Corp.
Issuing Entity
CSMC Trust
2015-WIN1
(Senior Certificates)
Class B Certificates
(Subordinate Certificates)
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CSMC 2015-WIN1
Report Date:
January 28, 2015
Cash Flow Structure and Features
Available Distribution Amount
For each related distribution period, the available distribution amount is the sum of:
 Scheduled interest (net of aggregate expenses and fees) and principal payments.
 Servicer advances of interest and principal on delinquent loans.
 Full and partial prepayments of principal and prepayment interest shortfalls.
 Insurance proceeds and net liquidation proceeds.
 Any other recoveries of funds and repurchase and substitution amounts.
Minus
 Advances and other amounts for which the servicers and Master Servicer are entitled to be
reimbursed.
 Related expenses.
Priority of Payments
On each distribution date, the available distribution amount will be applied in the following order of
priority:
(1) Pay the excess servicing fee to the Class A-IO-S Certificates.
(2) Pay the current and unpaid interest to the Class A-X-1, Class A-1, Class A-2, Class A-3, Class A-4,
Class A-X-2, Class A-X-3 and Class A-X-4 Certificates, pro rata.
(3) Prior to the credit support depletion date, pay the scheduled principal and the allocated share of
unscheduled principal payments in accordance with the senior prepayment percentages set forth
in the table below (senior principal distribution amount), pro rata, to:
(a) The Class A-1 Certificates until reduced to zero.
(b) The Class A-2 and Class A-3 Certificates, sequentially, in that order, until reduced to
zero.
(c) The Class A-4 Certificates until reduced to zero.
On or after the credit support depletion date, pay the senior principal distribution amount, in
accordance with the senior prepayment percentages set forth in the table below, to the Class A-1,
Class A-2, Class A-3 and Class A-4 Certificates, pro rata, until reduced to zero.
(4) Sequentially to Classes B-1, B-2, B-3, B-4 and B-5 Certificates, the current and unpaid interest and
then each class’s pro rata share of principal payments (IPIP). The principal payments to the Class B
Certificates consist of the scheduled principal and their allocated share of the unscheduled principal
payments, subject to certain performance tests as described below in Step-Down Test section.
(5) To the Class R Certificates, any remaining amounts.
To the extent that any of the initial exchangeable certificates above are exchanged for a proportionate
share of the exchangeable certificates, such exchangeable certificates will be paid in the same priority as
the initial exchangeable certificates described above.
Senior Prepayment Percentage
Distribution Date Occurring in the Period
Prior to February 2020
February 2020 to January 2021
February 2021 to January 2022
February 2022 to January 2023
February 2023 to January 2024
February 2024 and thereafter
21 Rating Report – Structured Finance: U.S. RMBS
Senior Prepayment Percentage
100%
the Senior % plus 70% of the Subordinate %
the Senior % plus 60% of the Subordinate %
the Senior % plus 40% of the Subordinate %
the Senior % plus 20% of the Subordinate %
the Senior %
CSMC 2015-WIN1
Report Date:
January 28, 2015
Step-Down Test
The step-down test consists of a delinquency and a cumulative loss component. Upon the satisfaction of
the two tests (or triggers), the subordinate classes may receive their allocated share of prepayments. The
tests are as follows:
Delinquency Test
The outstanding principal balance of all loans delinquent 60+ days or more (including loans in foreclosure,
REO or bankruptcy status, as well as any mortgages subject to a servicing modification in the prior 12
months), averaged over the preceding six months as a percentage of the aggregate then-current principal
balance of the subordinate classes, does not equal or exceed 50%.
Cumulative Loss Test
Distribution Date Occurring in the Period
February 2020 to January 2021
February 2021 to January 2022
February 2022 to January 2023
February 2023 to January 2024
February 2024 and thereafter
Cumulative Realized Losses as a % of the Original
Aggregate Subordinate Class Principal Amounts
20%
25%
30%
35%
40%
Applicable Credit Support Percentage
The structure locks subordinate classes out of principal distributions if the then-current credit support
percentage (defined as (1) the sum of the current balance of a respective subordinate class and all classes
subordinate to it, divided by (2) the total then-current collateral balance) falls below the applicable credit
support percentage, as indicated in the table below. In such instances, these principal distributions will be
redirected to the more senior classes to accelerate their paydowns.
Applicable Credit Support Percentage
Class
B-1
B-2
B-3
B-4
B-5
Applicable Credit Support Percentage
7.65%
6.20%
4.55%
3.45%
1.55%
Subordination Floor
The transaction benefits from a subordination floor of 1.60% of the collateral principal balance at
issuance. This prevents a certain level of credit support from leaking out of the capital structure even
when the transaction is performing within expectations (i.e., the subordinate classes are receiving
unscheduled principal). Such subordination floor also provides protection against tail risk when the pool
reduces to a small loan count.
Reimbursement of Servicing Advances for Modified Loans
In the event of a servicer loan modification, the reimbursement of servicing advances would be reduced
only from the principal distribution amount in a reverse order of priority. No reimbursement would result
in any reductions in the interest distribution amount.
Allocation of Realized Losses
Realized losses will be allocated in a reverse sequential order from the most subordinate class and up
(Class B-5, Class B-4, Class B-3, Class B-2 and Class B-1, in that order) until the principal balance of each
class is reduced to zero. Afterwards, realized losses on the mortgage loans will be applied to the Class A-1,
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Report Date:
January 28, 2015
Class A-2, Class A-3 and Class A-4 Certificates, pro rata, until reduced to zero, provided that any realized
losses otherwise allocable to the Class A-2, Class A-3 and Class A-4 Certificates will first be allocated to the
Class A-4 Certificates until reduced to zero and then to the Class A-2 and Class A-3 Certificates, pro rata,
until reduced to zero.
If exchanged, the Class A-7, Class A-8, Class A-9 and Class A-10 Certificates will have the benefit of the
subordination provided by Class A-4 Certificates.
Cash Flow Analysis
DBRS generally undertakes a detailed structural analysis that encompasses 40 cash flow scenarios. The
cash flow modeling assumptions focus on the following risk factors:
 Prepayment speeds.
 Timing of losses.
 Interest rate stresses (when there is a mismatch between collateral and bond coupons).
DBRS incorporates a dynamic cash flow analysis in its rating process. As indicated in the table below, a
baseline of five prepayment scenarios (under two Intex conventions – Standard and Max8) and two loss
timing curves were applied to test the resilience of the rated classes. No interest rate stresses were run
for this pool, as the mortgages are fixed-rate and the bonds bear coupons subject to the WA of the net
mortgage rates (Net WAC). Therefore, DBRS ran a total of 20 cash flow scenarios for this transaction. A
60+ days delinquency curve was approximated based on the collateral attributes of the pool. Coupled
with the losses derived from the RMBS Insight model, DBRS tested both the delinquency and cumulative
loss triggers as part of the step-down test.
20 Cash Flow Scenarios Applied by DBRS for CSMC 2015-WIN1
DBRS Cash Flow Scenario
Prepayments
Intex Prepayment Convention
1–5
5% – 25% CPR
Standard
6–10
5% – 25% CPR
Standard
11–15
5% – 25% CPR
Max
16–20
5% – 25% CPR
Max
Loss Timing
Front-loaded
Back-loaded
Front-loaded
Back-loaded
In a shifting-interest structure, the bonds typically need additional subordination relative to expected
losses, particularly in a back-loaded loss timing environment. As scheduled principal is distributed to the
subordinate classes from deal inception, credit support for the more senior classes gradually leaks out
from the capital structure. The later the losses occur, the lower the level of credit support that remains to
cover such losses. As a result, the proposed structure typically warrants higher credit enhancement by
approximately 0.25% to 1.00% (from the lowest to the highest rating levels) to cover losses at the
respective ratings.
For this transaction, extraordinary trust expenses, up to $300,000 annually, may be paid from available
funds before any distribution to the securities, thus potentially reducing the interest and principal
available to the certificateholders. DBRS ran additional cash flow stresses aligned with the duration of the
DBRS loss timing curves to capture these potential expenses and ensure that the rated bonds can
withstand further cash flow stresses. As a result, the proposed structure warranted higher credit
enhancement. DBRS’s ratings do not address the likelihood that there may be interest shortfalls as a
result of the occurrence of extraordinary trust expenses in any given month.
8. Standard: The standard prepayment rate consists of voluntary prepayments only. Prepayment amount and default amount are
applied to the loans independently. Max: Intex will first apply the defaulted amount, then apply the prepayment amount such that
the total amount applied is equal to the larger of the prepayment or the default amount.
23 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
Rating Category Analysis
DBRS employs various home price assumptions in its credit analysis at each rating category. Although an
important driver of defaults and loss severities, home prices alone do not necessarily warrant rating
changes. Many other factors, including economic measures and prepayment behaviors, can also cause
changes in transaction performance. Higher rating levels, by design, have the ability to withstand
increasing stresses more than lower rating levels.
Rating Category Stresses
DBRS incorporates home prices, asset correlation and simulation in determining rating category stresses.
Associated with each rating category is a home price or MVD scenario. All future house values are
adjusted downward by this percentage. The adjustment is applied, in addition to (1) the base house price
forecast scenario, (2) the distressed sale discount and (3) further property value haircuts by property and
loan characteristics, as described in the Key Loss Severity Drivers section. The table below illustrates the
key home price decline assumptions for each rating category.
Home Price Decline Assumptions by Rating Category
Rating
Base House Price
Base Home Price
*
Category
Forecast
Decline
AAA
2%
-27%
AA
2%
-23%
A
2%
-17%
BBB
2%
-13%
BB
2%
-7%
B
2%
-4%
Distressed Sale
Discount
-31%
-31%
-31%
-31%
-31%
-31%
Total Home Price
Decline
48%
46%
41%
39%
34%
32%
* Further market value haircuts by property and loan characteristics are not included in this example. The example uses a 2% base
% Actual forecasts vary by MSA and are estimated by the DBRS
house price forecast, which represents the DBRS national forecast.
house price forecast model, as described in the Key Loss Severity Drivers section.
Asset correlation is determined by the level of concentration (in geography and loan size) and credit
quality. A simulation approach is used to determine the portfolio-level distribution of default and
recovery. Simulations are run until the probability of exceeding the estimated rating stress level is less
than a target value, or confidence interval, as established by the DBRS idealized default table.
Third-Party Due Diligence
Clayton Holdings LLC and American Mortgage Consultants, Inc. (collectively, the TPR firms) performed the
third-party due diligence review for this transaction. DBRS has conducted on-site reviews of the TPR firms
and believes that the companies have adequate staffing, infrastructure and capabilities to effectively
perform residential mortgage due diligence reviews.
For this transaction, 100% of the final pool was reviewed for credit, compliance and property valuation.
Data integrity checks were also performed on the pool. For this pool, payment history reviews were not
performed, given the relatively low seasoning of the loans.
The scope of the due diligence review included:
(1) Regulatory Compliance. The compliance review included testing for certain federal, state and local
regulatory compliance conditions. For loans subject to the QM and ATR rules, the TPR firms reviewed
the applicable loans for compliance with the QM requirements based on the loan’s designation.
24 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
(2) Credit. The detailed credit review included a comparison of documentation in the loan files to the
origination guidelines. The TPR firms recalculated various ratios, including DTI, LTV and CLTV, and
compared them against the origination guidelines. Asset statements were reviewed to assess
whether required funds and reserves to close the loan were documented and were within the
origination guidelines. The TPR firms verified and confirmed that FICO and credit histories were
within the origination guidelines. The loan files were evaluated for evidence of borrower’s
willingness and ability to repay the obligation, and were reviewed for reasonability of income,
employment, assets and occupancy status.
(3) Valuation Review. The review included making a reasonable assessment of whether the appraisal
was thorough and complete, and the appraised value appeared to be supported.
The TPR firms performed an initial review and assigned grades for compliance, credit and valuation.
Following the initial grading, additional information and supporting documentation may have been
provided by the originators and the seller to clear outstanding conditions. DBRS received a comprehensive
loan-level analysis from the TPR firms that includes initial grades, final grades and detailed commentary
on the rationale for any changes in grades, including compensating factors and waivers.
DBRS reviewed the due diligence results and made adjustments to the documentation types and, hence,
loss rates on certain loans as described in the relevant sections in this report. DBRS also indexed the
property values using Case-Shiller on certain loans.
For this transaction, the TPR firms provided DBRS written attestations that generally include the following:
 The diligence review was conducted without influences from the sponsor of the transaction.
 The review was completed in accordance with DBRS third-party due diligence criteria.
 The reviewers have the appropriate level of experience to complete the due diligence review.
 Ample time was given to the firm to perform the review and report the findings to DBRS.
Representations and Warranties
Each originator has made certain representations and warranties concerning the mortgage loans. Such
representations and warranties will be restated in the related Assignment, Assumption and Recognition
Agreements to and for the benefit of the trustee and the Trust, either as of the Closing Date or a date
prior to the Closing Date. With respect to the latter, the seller will be covering the gap for the period
between the restatement date (prior to the Closing Date) and the Closing Date.
The representations and warranties provided for the transaction substantially conform to DBRS’s
Representations and Warranties Criteria for U.S. RMBS Transactions.
Enforcement Mechanism
The originators shall cure any breaches of representations and warranties generally within 90 days of
discovery. If not cured, the trustee shall enforce the obligation to repurchase the affected mortgages at
the repurchase price or substitute similar mortgages.
There are a number of ways to put forth an alleged claim of a breach of representations and warranties.
With respect to a loan that is less than 120 days delinquent, either the controlling holder (holder of the
majority of the class principal amount of the most subordinate class outstanding) or holders of more than
two-thirds of the aggregate voting interests of the senior certificates can elect to pursue a claim of a
breach. For loans that have become 120 days delinquent, an automatic breach review will be triggered
and the Master Servicer shall provide prompt written notice of such delinquency to the trustee to start a
claim.
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CSMC 2015-WIN1
Report Date:
January 28, 2015
Upon receipt of alleged breaches from any of the above parties, the trustee shall engage a third party
(such third party may be selected by the certificateholders) to review each such loan to determine if the
originator and/or seller are obligated to repurchase the mortgage loan. If, as a result of such review, there
is evidence of a breach of a representation and warranty, the trustee will enforce the repurchase
obligation, including participating in an arbitration proceeding or other cause of action if necessary.
In accordance with the transaction documents, disputes may ultimately be subject to determination made
in a related arbitration proceeding.
DLJMC Backstop
The representations and warranties from the originators remain in effect for the life of the transaction.
Except for mortgage loans originated by First Republic, the loans benefit from representations and
warranties backstopped by DLJMC, a wholly owned subsidiary of Credit Suisse, in the event of an
originator’s bankruptcy or insolvency proceeding, and if the originator fails to cure, repurchase or
substitute such breach or loans. Such backstop is, however, subject to sunset provisions, as described
below.
Sunset Provisions
The seller backstop on two representations and warranties with respect to fraud and underwriting shall
expire if notice of such breach is not given by 36 months after the Closing Date (or the later of 36 months
or 12 months after the expiration of any teaser or IO period, if applicable).
These sunset provisions, however, also give consideration to loan performance. The sunsets will only take
effect if (1) the borrower has made 36 scheduled payments and (2) the loan has not been reported as 60
days or more delinquent during either the first 36 months post-closing or for any subsequent 36-month
period.
Other than the underwriting and fraud representations, the rest of the representations and warranties
will remain in effect for the life of the transaction.
New Penn Guarantor
Shellpoint is a Delaware limited liability company and the parent company of New Penn. To the extent
that New Penn has insufficient funds to repurchase or remit a substitution amount in connection with a
New Penn-originated mortgage loan, Shellpoint will be obligated to contribute funds to New Penn to
repurchase or remit a substitution amount for such mortgage loan. In the event the Shellpoint
contribution amount is not sufficient to repurchase or remit a substitution amount, DLJMC will be
obligated to cure the breach, repurchase the loan or substitute a similar loan.
DBRS Viewpoint
DBRS reviewed the various aspects of the transaction representations and, in conjunction with a detailed
analysis of (1) the quality of the underlying prime mortgage loans, (2) third-party due diligence sample
size and results and (3) financial assessment of the entities providing such representations and
warranties, formed the following view on the CSMC 2015-WIN1 representations and warranties standard.
DBRS views this representations and warranties standard to be consistent with other recently issued
CSMC prime jumbo transactions; however, the relatively weak financial strength of certain originators and
the sunset provisions on the backstop by DLJMC still demand additional penalties and credit
26 Rating Report – Structured Finance: U.S. RMBS
CSMC 2015-WIN1
Report Date:
January 28, 2015
enhancement protections. To capture this potential weakness, DBRS discounted the seller backstop and
adjusted downward the origination score of certain originators, hence increasing the loss rates.
DBRS based its analysis of the representations and warranties standard on the following factors:
 Strong credit quality of the underlying prime mortgages.
 The originators will provide standard lifetime representations and warranties with no sunset
provisions.
 Third-party due diligence was conducted on 100% of the pool with satisfactory results, which
mitigates the risk of future representations and warranties violations.
 Automatic reviews for breaches of representations are triggered on any loan that becomes more
than 120 days delinquent.
 All disputes may ultimately be subject to determination made in a related arbitration proceeding.
In certain cases, DBRS assigned additional penalties and adjusted certain loan attributes based on thirdparty due diligence results to provide added cushion in its expected losses analysis.
Rule 17g-7 Report
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 [email protected].
Methodologies Applied
The following are the primary methodologies DBRS applied to assign a rating to the above-referenced
transaction, which can be found on www.dbrs.com under Methodologies. Alternatively, please contact
[email protected] or contact the primary analysts whose information is listed in this report.
 RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology
 Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules
 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
In accordance with the operational risk framework outlined in the DBRS RMBS Insight model and rating
methodology, the framework takes into consideration aspects of DBRS’s originator and servicer
assessment, the results of the third-party due diligence review and the strength of the representations
and warranties provided, which may result in a credit or penalty applied to the default and loss severity
rates of a mortgage pool.
Monitoring and Surveillance
The transaction will be monitored in accordance with the DBRS U.S. RMBS Surveillance Methodology.
27 Rating Report – Structured Finance: U.S. RMBS
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Report Date:
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Notes:
All figures are in U.S. dollars unless otherwise noted.
Copyright © 2015, DBRS Limited, DBRS, Inc. and DBRS Ratings Limited (collectively, DBRS). All rights reserved. The
information upon which DBRS ratings and reports are based is obtained by DBRS from sources DBRS believes to be accurate
and reliable. DBRS does not audit the information it receives in connection with the rating process, and it does not and
cannot independently verify that information in every instance. The extent of any factual investigation or independent
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28 Rating Report – Structured Finance: U.S. RMBS