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KBRA has assigned preliminary ratings to seven classes of mortgage pass-through notes from CSMC 2022-NQM5 Trust (CSMC 2022-NQM5).
CSMC 2022-NQM5 is a $391.8 million, non-prime residential mortgage-backed securities (RMBS) transaction sponsored by DLJ Mortgage Capital Inc. The underlying pool, comprising 884 residential mortgages, is characterized by loans underwritten with low-to-moderate original loan-to-value (LTV) ratios and non-traditional income documentation.
KBRA assigned its preliminary ratings as follows:
- A-1A, A-1B, A-1: AAA (sf)
- A-2: AA- (sf)
- A-3; A (sf)
- M-1: BBB (sf)
- B-1: BB- (sf)
- B-2, B-3, A-IO-S, XS, PT, R: Not rated.
Borrowers in the subject pool possess a non-zero weighted-average (WA) original credit score of 752 and exhibit substantial equity in each mortgaged property, with WA loan-to-value and combined LTV (CLTV) ratios of 69% and 69%, respectively.
Approximately 40.8% of the loans were categorized as non-qualified mortgages (Non-QM) under the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule. The remainder were classified as exempt from the ATR/QM rule due to being originated for business purposes (59.2%).
The mortgage loans, seasoned approximately three months, include both fixed-rate mortgages ( 74.5%) and adjustable-rate mortgages (ARMs 25.5%). Additionally, approximately 9.2% of the pool has an initial interest-only period.
The collateral consists of mortgages originated by various lenders, the largest of which is AmWest Funding Corp (54.2%) followed by Home Equity Mortgage LLC (10.6%). None of the remaining originators account for more than 10% of the pool. All loans in the transaction will be serviced by Amwest (54.2%), Select Portfolio Servicing (42.3%) and Selene Finance LP (3.5%). The transaction has a modified sequential payment structure.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model; an examination of the results from third-party loan file due diligence; cash-flow modeling analysis of the transaction’s payment structure; reviews of key transaction parties; and an assessment of the transaction’s legal structure and documentation.
To read the full report, visit www.kbra.com (registration required).