KBRA Assigns Preliminary Ratings To CSMC 2022-NQM1 Trust

CSMC 2022-NQM1 Trust is comprised of 992 residential mortgages, characterized by loans underwritten with low-to-moderate original loan-to-value (LTV) ratios and non-traditional income documentation. The collateral consists of mortgages originated by various lenders, the largest of which is AmWest Funding Corp. (AmWest; 67.0%).

According to KBRA's ratings, 66.6% of the loans were categorized as non-QM under the ATR/QM rule. Additionally, borrowers in CSMC 2022-NQM1 possess a non-zero WA original credit score of 758 and exhibit substantial equity in each mortgaged property, with WA LTV and combined LTV (CLTV) ratios of 68.8% and 68.8%, respectively. KBRA adds that the mortgage loans, seasoned approximately three months, include both fixed-rate mortgages (FRMs; 73.9%) and adjustable-rate mortgages (ARMs 26.1%).

The ratings also showed that 33.4% of the non-QM loans were originated for business purposes and are exempt from the ATR/QM rule. KBRA believes that there is minimal TRID compliance risk for the CSMC 2022-NQM1 Trust.

“The RW&E framework available to investors in CSMC 2022-NQM1 is modestly weaker than industry standards considering the nature of the underlying collateral and the R&W providers, but in line with other non-prime transaction. All of the R&Ws from the originators are life-of-loan in term,” according to the KBRA report.