DLJ Mortgage Capital Prepares $278.2M MBS Deal

DLJ Mortgage Capital Sponsors $278.2M Mortgage-Backed Securities Deal, Non-Privileged Transaction Including Underwritten Loans with Modest Original LTVs, Non-Traditional Income Documentation and high concentration of foreign borrowers.

Athas Capital Group is the originator of all collateral pool loans, and Select Portfolio Servicing will service the loans, according to ratings agency Kroll Bond. Although the borrowers have a non-zero weighted average (WA) credit score of 715, the KBRA noted that the originator has a limited performance history, which is a potential credit negative.

Additionally, 25.5% of borrowers on the CSMC 2022-ATH3 underlying mortgages are foreign nationals, while 4.1% are non-permanent residents. This is generally higher concentration than is typically seen in comparable non-preferred transactions, according to the KBRA. Borrowers are considered foreign nationals if they do not have a permanent residence in the United States and a credit history in the United States.

“None of the loans issued to foreign nationals were subject to ATR compliance due to their commercial nature,” the KBRA noted. Borrowers have also put in place personal guarantees for loans that companies do not hold.

Virtually all of the loans in the pool, 90.4%, were created using alternative or non-traditional income documents, KBRA said. Non-QM and exempt ATR loans account for qualified mortgage designations, with 27.1% and 72.9%, respectively, according to the rating agency.

Pool occupancy types closely follow QM designations. Some 72.9% of the loan pool balance is investment property, while homeowner loans make up 24.2% of the pool.

According to the rating agency, Credit Suisse Securities, CastleOak Securities and HSBC Securities are among the first purchasers of notes in the deal.

CSMC 2022-AHT3 will redeem redeemable tickets – specifically super senior, senior support, as well as mezzanine and subordinate classes – via a sequential structure. Classes A-1 to A-3 will be reimbursed on a pro rata basis.

The credit enhancement on the Notes ranges from 58.1% on the super senior class A-1A to 6.6% on the subordinate class B-2.

Other enhancements include an excess management band and monthly excess cash flow.

KBRA plans to assign “AAA” ratings to classes A-1A through A-1; ‘AA+’ and ‘A+’ on senior classes A-2 and A-3 on a pro rata basis; and ‘BBB’ to ‘B’ in grades M-1 to B-2.

Michael J. Birnbaum