A mix of seasoned performing and re-performing loans is serving as underlying collateral on a $402 million mortgage-backed securities transaction, the CSMC 2021-RPL5.
Credit Suisse is lead manager/underwriter on the deal, which features a traditional capital structure making use of a senior-subordinate payment priority, according to Fitch Ratings, which expects to rate the notes. The sequential-pay structure locks out principal to the subordinated notes, in this case the M-3, B- and B-2 classes, until full payment has been made on the senior notes, the A-1A, A-1X, M-1 and M-2 classes.
DLJ Mortgage Capital is the deal’s sponsor, and culled the collateral pool from multiple originators. DLJ Mortgage also provides the representations and warranties. Primarily, the mortgage collateral consists of 1,982 peak-vintage SPLs and RPLs, and Fitch estimates that about 90% of the loans have been modified. Also, 21% of the loans were treated as having two years of clean payment histories. Another 67% of the loans are considered current, but the loans have experienced recent delinquencies or have incomplete 24-month payment records.
Out of the pool, 12% of the loans are delinquent, according to Fitch.
The average loan balance on the CSMC 2021-RPL5 is $203,036, which is slightly above the 2018-2020 re-performing/non-performing (RPL/NPL) average that Fitch maintains. On a weighted average basis, the loans in the CSMC 2021-RPL5 have a higher loan-to-value ratio, 80.3%, than the RPL/NPL average of 74.8%.
To balance some of these aspects of the deal, Fitch noted that the operational risk for the deal was well controlled. The servicer, Rushmore Loan Management Services LLC, is the named servicer for the transaction and Fitch rates the company ‘RPS1,’ with a stable outlook.
Also, the issuer has retained at least 5% of the notes issued, which also helps to ensure an alignment of interest between the issuer and investor.
Among MSAs, New York City has the largest concentration of loans, 18.8%, in the collateral pool. Among states, California, with 20.1% of the pool, has the largest concentration.
