DBRS Assigns Ratings to Credit Suisse Liquidity Loan Agreement

DBRS, Inc. has today assigned tranched ratings to the Liquidity Loan Agreement (LLA) in the original amount of $4,248,740,669 provided by Credit Suisse.

The aggregate liquidity facilities are tranched as follows:

-- $ 4,119,709,463 rated AAA
-- $ 35,004,358 rated AA (high)
-- $ 40,052,501 rated AA (low)
-- $ 53,974,346 rated A (high)

The obligations are collateralized by residential mortgage-backed securities (RMBS). The ratings are based on a sequential pay structure among all rated tranches. Key elements of this analysis include the integrity of the transaction structure, the creditworthiness of the underlying collateral and the timely payment of interest and ultimate payment of principal.

The applicable public methodologies are Rating U.S. Residential Mortgage-Backed Securities Transactions and the Asset-Backed Commercial Paper Criteria Report: U.S.ABCP Conduits – Credit and Liquidity, which both can be found on our website under Methodology.

DBRS will monitor LLA and its associated individual transaction to reflect changes in credit quality. The rating results will be updated and posted on the DBRS website.

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

This is a Structured Finance rating.