DLJ Mortgage Capital is sponsoring a $447.8 million non-prime residential mortgage-backed securities (RMBS) transaction. The mortgage portfolio balances non-traditional income documentation with low-to-moderate original loan-to-value (LTV) ratios.
CSMC 2022-NQM2, the name of the transaction, consists of 892 residential mortgages, and AmWest originated the plurality of the collateral pool, 49.8%, according to a pre-sale report from Kroll Bond Rating Agency. S&P Global Ratings noted that AmWest will also be among the servicers, which will include Select Portfolio Servicing and Selene Finance.
Almost all of the loans, 96.9%, were underwritten on a basis of less than full documentation. The weighted average (WA) debt-to-income (DTI) of the mortgage pool is 37.9%.
Citibank is the paying agent, note registrar, certificate registrar and REMIC administrator, according to S&P.
The transaction will issue the notes through a senior-subordinate capital structure that will use a sequential principal distribution to the notes, instead of the modified sequential structures common to other non-QM transactions. Those allow for pro rata payments to class A notes, subject to performance triggers, according to KBRA.
Among credit enhancements, the notes from CSMC 2022-NQM2 will benefit from excess spread, KBRA said. Every month, the trust will use any excess cash flow available up to the amount of current period and cumulative realized losses to pay down the most senior classes of outstanding certificates, and will do so on a sequential basis.
Not all of the transaction's excess cash flow will be available at all times, however, according to KBRA. Monthly excess cash flow generated above current or previously applied losses will be released and will not be available as credit enhancement in future periods, KBRA said.
In another form of potential credit support, CSMC 2022-NQM2 has structural methods of mitigation that reduce the likelihood of interest shortfalls on the rated certificates, KBRA said. Interest is distributed sequentially to each class of certificates, and the transaction will have excess interest at issuance.
CSMC 2022-NQM2’s mortgage pool has an average balance of $502,063. On a weighted average (WA) basis, the mortgages in the pool have a FICO score of 758, and an original loan-to-value (LTV) ratio of 65.5%.
The notes are slated to get ratings of ‘AAA’ to ‘A’ on classes A-1A through A-3. Classes M-1 through B-2 are slated to get ratings of ‘BBB’ through ‘B-’, all from KBRA.
S&P plans to rate the notes similarly. The class A-2 notes, however, are slated to get a rating of ‘AA+’.
