NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary ratings to five classes of mortgage-backed notes from CSMC 2019-NQM1 Trust (CSMC 2019-NQM1), a $324.6 million non-prime RMBS transaction.
The underlying pool, comprising 697 residential mortgages, is generally characterized by newly-originated and seasoned, non-prime collateral with low original loan-to-value (LTV) ratios and alternative income documentation (e.g., P&L statement with CPA letter, WVOE, asset underwriting).
Borrowers in the CSMC 2019-NQM1 pool possess a non-zero WA original credit score of 726 and they exhibit substantial equity in each mortgaged property, with WA original loan-to-value (LTV) and combined LTV (CLTV) ratios of 66.3% and 66.4%, respectively. The mortgage loans, seasoned approximately nine months, are predominantly hybrid adjustable-rate mortgages (ARMs) with initial fixed rate periods of one year (0.4%), three years (28.8%), five years (28.5%), seven years (16.4%), and fixed-rate mortgages (FRMs) with 15-Year (0.9%) and 30-year terms (25.1%). With respect to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, approximately 75.2% of the loans were categorized as non-qualified mortgages (Non-QM). The remaining loans (24.8%) were either exempt from the ATR/QM rule, due to either predating the rule’s implementation or being originated for business purposes (i.e., investment properties), or rebuttable presumption QM loans. Approximately 10.4% of the loans were originated to a primary borrower that was a foreign national (including non-permanent resident aliens).
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss 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. This analysis is further described in our U.S. RMBS Rating Methodology.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- CSMC 2019-NQM1 Pre-Sale Report
- CSMC 2019-NQM1 Tear Sheet
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- Global Structured Finance Counterparty Methodology
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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Sharif Mahdavian, Senior Director
Hannah Brennan, Analyst
Jack Kahan, Senior Managing Director
Michele Patterson, Managing Director