CSMC floats $251 million in non-QM mortgage-backed securities

A pool of 616 non-prime mortgages will collateralize CSMC 2022-ATH1, a $251 million transaction sponsored by DLJ Mortgage Capital, Inc.

Credit Suisse Securities, CastleOak Securities, Drexel Hamilton, HSBC Securities and R. Seelaus & Co., are the initial purchasers. The trust will repay the notes sequentially on a pro rata basis, according to a pre-sale report from Kroll Bond Rating Agency. ¬The interest on the notes will pay sequentially from collected interest, minus any applicable fees.

KBRA expects to assign ratings on the notes ranging from ‘AAA’ on the $156.4 million A-1A/A-1B notes, to ‘BBB’ on the $14.2 million. Ratings also includes a ‘A’ on the $27.6 million, A-3 notes. The deal is expected to close on February 22.

Athas Capital Group originated the mortgages, all of which are first-lien home loans, according to KBRA. They have an average balance of $408,350, with an average weighted average (WA) original term of 362 months.

On a WA basis, the mortgages in the collateral pool have:

• an original credit score of 729
• an original and cumulative loan-to-value ratio of 67.6%
• a debt-to-income ratio of 33.5%

About 23.0% of the borrowers in the pool are self-employed, according to KBRA. In terms of the purpose of the loans, 59.1% went to purchase the homes, cash-out loans account for another 32.1%, and refinances account for 8.8%. Owner-occupied loans account for 24.8% of the pool, while investment properties make up 74.3% of the pool balance.

On a non-zero, WA basis the borrowers have:

• an annual income of $608,383
• a median annual income of $151,941
• liquid reserves of $238,422

Single-family houses account for a substantial majority of the pool, 74.0%, while condos make up 17.3% of the collateral. Multifamily and other properties comprise 8.6% of the pool.

Some 25.7% of the loans in the pool are non-QM loans, while another 74.3% are considered exempt.

Geographically speaking, California accounts for the state with the largest percentage of loans in the pool, 36.1%. Florida follows, accounting for 29.6%, then Texas with 4.2%. New York and Washington complete the top five states in the pool, with 3.8% and 3.5% of the pool, respectively.

The pool is more diversified by metro area, with Los Angeles accounts for the largest portion of loans, with 19.9% and Miami follows with 15.8%. Percentages from the other cities fall into the single digits, with Orlando accounting for 7.0%.