KBRA Assigns Preliminary Ratings to CSMC 2019-AFC1 Trust (CSMC 2019-AFC1)
13 August 2019 - 11:21PM
Business Wire
Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary
ratings to six classes of mortgage-backed notes from CSMC 2019-AFC1
Trust (CSMC 2019-AFC1), a $355.8 million non-prime RMBS
transaction.
CSMC 2019-AFC1 Trust (CSMC 2019-AFC1) is sponsored by DLJ
Mortgage Capital, Inc. All of the loans in the transaction were
purchased from a single originator, AmWest Funding Corp. (AmWest),
and underwritten to their guidelines. The underlying pool,
comprising 739 residential mortgages, is generally characterized by
newly-originated, non-prime collateral with low original
loan-to-value (LTV) ratios and alternative income
documentation.
Borrowers in the CSMC 2019-AFC1 pool possess a non-zero WA
original credit score of 741 and they exhibit substantial equity in
each mortgaged property, with WA original loan-to-value (LTV) and
combined LTV (CLTV) ratios of 67.2% and 67.3%, respectively. The
mortgage loans, seasoned approximately four months, are
predominantly hybrid adjustable-rate mortgages (ARMs) with initial
fixed rate periods of seven years (83.5%). Fixed-rate mortgages
(FRMs) with 30-year (15.5%) and 15-year (1.0%) maturity terms make
up the remaining 16.5% of the collateral. Approximately 5.5% of the
loans have a seven-year interest-only period (5.5%). With respect
to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule,
approximately 80.3% of the loans were categorized as non-qualified
mortgages (Non-QM). The remaining loans (19.7%) were exempt from
the ATR/QM rule, due to either predating the rule’s implementation
or being originated for business purposes (i.e., investment
properties). Approximately 11.0% of the loans were originated to a
primary borrower that was a foreign national.
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-AFC1 Pre-Sale Report
- CSMC 2019-AFC1 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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About KBRA and KBRA
Europe
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.
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Analytical Contacts:
Patrick Gervais, Senior Director (646) 731-2426
pgervais@kbra.com
Edward DeVito, Managing Director (646) 731-2319
edevito@kbra.com
Sharif Mahdavian, Senior Director (646) 731-2301
smahdavian@kbra.com
Fei Han, Analyst (646) 731-2342 fhan@kbra.com
Jack Kahan, Senior Managing Director (646) 731-2486
jkahan@kbra.com