DLJ Mortgage Capital is sponsoring a $278.2 million, mortgage-backed securities deal, a non-prime transaction featuring loans underwritten with modest original loan-to-value ratios, non-traditional income documentation and a high concentration of borrowers who are foreign nationals.
Athas Capital Group originated all of the loans in the collateral pool, and Select Portfolio Servicing will service the loans, according to Kroll Bond Rating Agency. Although the borrowers have a non-zero weighted average (WA) credit score of 715, KBRA noted that the originator has limited performance history, which is a potential credit negative.
Further, 25.5% of borrowers on CSMC 2022-ATH3's underlying mortgages are foreign nationals, while 4.1% are non-permanent residents. It is a generally higher concentration than what is typically seen in non-prime comparable transactions, according to KBRA. Borrowers are considered foreign nationals if they lack permanent U.S. residencies and U.S.-based credit history.
"None of the loans made to foreign nationals were subject to ATR compliance due to their business nature," KBRA noted. The borrowers also have personal guarantees in place for loans that corporations do not hold.
Virtually all of the loans in the pool, 90.4%, were originated using alternative or non-traditional income documentation, KBRA said. Non-QM and ATR exempt loans account for the qualified mortgage designations, with 27.1% and 72.9%, respectively, according to the rating agency.
The pool's occupancy types follows the QM designations closely. Some 72.9% of the loan pool balance are investment properties, while owner-occupied loans account for 24.2% of the pool.
Credit Suisse Securities, CastleOak Securities, and HSBC Securities are among the deal's initial note purchasers, according to the rating agency.
CSMC 2022-AHT3 will repay the exchangeable notes—particularly the super senior, senior support, plus the mezzanine and subordinate classes—through a sequential structure. The A-1 through A-3 classes will be repaid on a pro-rata basis.
Credit enhancement on the notes range from 58.1% on the super senior A-1A class through 6.6% on the B-2 subordinate class.
Other enhancements include an excess servicing strip, and monthly excess cash flow.
KBRA expects to assign 'AAA' ratings on the A-1A through A-1 classes; 'AA+' and 'A+' on the A-2 and A-3 senior pro rata classes; and 'BBB' through 'B' on the M-1 through B-2 classes.
