KBRA Assigns Preliminary Ratings to CSMC 2020-AFC1 Trust (CSMC 2020-AFC1)

NEW YORK--()--Kroll Bond Rating Agency, Inc. (KBRA) assigns preliminary ratings to six classes of mortgage-backed notes from CSMC 2020-AFC1 Trust (CSMC 2020-AFC1), a $370.8 million non-prime RMBS transaction.

CSMC 2020-AFC1 Trust (CSMC 2020-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 822 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 2020-AFC1 pool possess a non-zero WA original credit score of 747 and they exhibit substantial equity in each mortgaged property, with WA original loan-to-value (LTV) and combined LTV (CLTV) ratios of 68.9%. The mortgage loans, seasoned approximately five months, are predominantly hybrid adjustable-rate mortgages (ARMs) with initial fixed rate periods of seven years (66.4%). Fixed-rate mortgages (FRMs) with 30-year (33.3%) and 15-year (0.3%) maturity terms make up the remaining 36.6% of the collateral. Approximately 3.0% of the loans have a seven-year interest-only period. With respect to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, approximately 74.5% of the loans were categorized as non-qualified mortgages (Non-QM). The remaining loans (25.5%) 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 7.2% 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)

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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.

Contacts

Analytical Contacts:
Edward DeVito, Managing Director
(646) 731-2319
edevito@kbra.com

Hannah Brennan, Analyst
(646) 731-3324
hbrennan@kbra.com

Jack Kahan, Senior Managing Director
(646) 731-2486
jkahan@kbra.com

Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com

Contacts

Analytical Contacts:
Edward DeVito, Managing Director
(646) 731-2319
edevito@kbra.com

Hannah Brennan, Analyst
(646) 731-3324
hbrennan@kbra.com

Jack Kahan, Senior Managing Director
(646) 731-2486
jkahan@kbra.com

Business Development Contact:
Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com