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KBRA Assigns Preliminary Ratings to CSMC 2022-NQM5

Aug 01, 2022
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The $391.8 million, non-prime RMBS transaction is sponsored by DLJ Mortgage Capital Inc.

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).

About the author
David Krechevsky was an editor at NMP.
Published
Aug 01, 2022
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