NEW YORK, November 09, 2021--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 35 classes of mortgage pass-through certificates from CSMC 2021-INV2 Trust (CSMC 2021-INV2), the second residential mortgage-backed securities (RMBS) transaction sponsored by DLJ Mortgage Capital, Inc. (DLJ) to be collateralized entirely by non-owner occupied (NOO) agency-eligible loans. The underlying pool consists of 1,372 fixed-rate mortgages (FRMs) with an aggregate principal balance of approximately $414.7 million as of the October 1, 2021 cut-off date; approximately 91.6% of the pool are investment property loans while the remaining 8.4% are second home mortgages. The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 63.5%. The weighted average original credit score is 768, which is within the prime mortgage range.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its RMBS Credit 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.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. 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.
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