CSMC’s latest non-QM deal nets $561.9 million
CSMC 2022-NQM3 Trust is preparing to issue $561.9 million in residential mortgage-backed securities (MBS), secured by a pool of home loans with low to moderate initial loan-to-value (LTV) ratios and non-traditional income Documentation.
The collateral pool contained a significantly higher percentage of adjustable-rate (23.0%) and interest-only (13.2%) mortgages than the previous transaction, CSMC 2022-NQM2, where ARM and IO mortgages represented only 11.5% and 4.1% of the pool. , respectively. Still, those ratios were certainly not the highest the series had seen, according to an assessment by ratings agency Kroll Bond.
Credit Suisse Securities leads a group of initial buyers, which includes CastleOak, Drexel Hamilton, HSBC Securities and Seelaus & Company.
Substantially all of the deal will issue notes through a senior subordinated capital structure that will repay the principal of the notes sequentially, rather than on a modified sequential basis, which is common to most non-QM transactions that allow pro-rata payments subject to performance triggers. .
Credit enhancement includes excess margin.
KBRA plans to award ratings ranging from “AAA” on A-1A, A-1B and A-1 ratings and “BB-” on B-1 ratings.
KBRA noted a number of credit issues in CSMC 2022-NQM3 aside from ARM and I/O concentration. The rating agency also noted a strong geographical concentration of California. In terms of top 10 states by percentage of pool balance, California makes up 57.6% of the pool.
Additionally, the three major Central Statistical Areas (CBSA) – Los Angeles, Riverside, California and New York – make up 48.3% of the pool.
All 1,137 loans in the agreement are first liens and have an average balance of $494,269. The bulk of the transaction, 97.6%, was underwritten on alternative documentation.
Various lenders originated the loans from the pool, with AmWest Funding Corp. being the largest at 37.8%. None of the other originators account for more than 20% of originations in the rest of the pool, according to the KBRA. On a weighted average (WA) basis, the loans have an initial credit rating of 747, a term of 361 loans and a coupon WA of 4.42%.
The deal is expected to close on April 29.