Credit Suisse First Boston Mortgage Securities CSMC 2009-2R is rated by Fitch Ratings as follows:
–$19,596,900 class 1A1 ‘AAA’; Outlook Stable.
–$176,372,100 class 1A2 ‘AAA’; Outlook Stable.
–$346,987,000 class 1A3 ‘AAA’; Outlook Stable.
–$61,233,000 class 1A4 ‘AAA’; Outlook Stable.
–$408,220,000 exchangeable class 1A11 ‘AAA’; Outlook Stable.
–$50 residual class 1R ‘AAA’; Outlook Stable.
–$30,038,000 class 2A1 ‘AAA’; Outlook Stable.
–$3,337,000 class 2A2 ‘AAA’; Outlook Stable.
–$3,338,000 class 2A3 ‘AAA’; Outlook Stable.
–$36,713,000 exchangeable class 2A5 ‘AAA’; Outlook Stable.
–$33,375,000 exchangeable class 2A6’AAA’; Outlook Stable.
–$50 residual class 2R ‘AAA’; Outlook Stable.
–$31,489,000 class 3A1 ‘AAA’; Outlook Stable.
–$50 residual class 3R ‘AAA’; Outlook Stable.
–$56,012,000 class 6A1 ‘AAA’; Outlook Stable.
–$50 residual class 6R ‘AAA’; Outlook Stable.
–$23,731,000 class 8A1 ‘AAA’; Outlook Stable.
–$50 residual class 8R ‘AAA’; Outlook Stable.
–$5,484,000 class 9A1 ‘AAA’; Outlook Stable.
–$50 residual class 9R ‘AAA’; Outlook Stable.
–$7,133,000 class 10A1 ‘AAA’; Outlook Stable.
–$50 residual class 10R ‘AAA’; Outlook Stable.
This transaction contains certain classes designated as exchangeable certificates and others as regular certificates. The class 1A11 through 1A18, and 2A5 through 2A8 certificates are exchangeable certificates. The rest of the classes are regular certificates. Only the classes 1A11, 2A5, and 2A6 are rated by Fitch.
This transaction consists of 10 groups. Each group is a resecuritization of an ownership interest in a single mortgage-backed certificate. As resecuritizations, the certificates will receive their cash-flows from the underlying classes of certificates. The underlying certificates are backed by conventional Prime first-lien mortgage loans. The group-to-bond associations are as follows:
Group 1: 100% interest in each of the Wells Fargo Mortgage Backed Securities 2004-S Trust, classes A-4, A-5, A-6, and A-7. Credit enhancement (CE) for the 1A1, 1A2, 1A3, 1A4 certificates and exchangeable certificate is provided by the structural support on the underlying transaction and by the 15% class 1A5, 1A6, 1A7, 1A8, 1A9, and 1A10 bonds (and exchangeable classes 1A12, 1A13, 1A14, 1A15, 1A16, 1A17, and 1A18).
Group 2: 12.60% interest in the WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust, class 1 A1. CE for the 2A1, 2A2, 2A3 certificates is provided by the structural support on the underlying transaction and by the 45% class 2-A4 bond (and exchangeable classes 2A7 and 2A8).
Group 3: 18.50% interest in the CHL Mortgage Pass-Through Trust 2005-29, Class A-1. CE for the 3A1 certificate is provided by the structural support on the underlying transaction and by the 20% class 3A2 bond.
Group 6: 100% interest in the GSR Mortgage Loan Trust 2006-8F, Mortgage Pass-Through Certificates, Series 2006-8F, class 3A-5. CE for the 6A1 certificate is provided by the structural support on the underlying transaction and by the 20% class 6A2 bond.
Group 8: 8.57% interest in the Banc of America Mortgage 2007-3 Trust, Mortgage Pass-Through Certificates, Series 2007-3, class 1-A-1. CE for the 8A1 certificate is provided by the structural support on the underlying transaction and by the 25% class 8A2.
Group 9: 6.60% interest in the GMACM Mortgage Loan Trust 2005-J1, GMACM Mortgage Pass-Through Certificates, Series 2005-J1, Class A-4. CE for the 6A1 certificate is provided by the structural support on the underlying transaction and by the 15% class 9A2 bond.
Group 10: 12.87% interest in J.P. Morgan Mortgage Pass-Through Certificates, Series 2007-S3, Class 1-A-1. CE for the 6A1 certificate is provided by the structural support on the underlying transaction and by the 25% class 10A2 bond.
L.D.