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KBRA Assigns Preliminary Ratings to CSMC 2022-NQM4 Trust (CSMC 2022-NQM4)

·3-min read

NEW YORK, June 28, 2022--(BUSINESS WIRE)--KBRA assigns preliminary ratings to seven classes of mortgage pass-through notes from CSMC 2022-NQM4 Trust (CSMC 2022-NQM4), a $446.4 million non-prime RMBS transaction. The underlying collateral, comprising 1,172 residential mortgages, is characterized by a significant concentration of loans underwritten using alternative income documentation. Borrowers in the subject pool possess a non-zero WA original credit score of 742 and exhibit substantial equity in each mortgaged property, with WA LTV and combined LTV (CLTV) ratios of 70.4% and 70.4%, respectively.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA 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.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

Disclosures

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.

About KBRA

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.

View source version on businesswire.com: https://www.businesswire.com/news/home/20220628006047/en/

Contacts

Analytical Contacts

Daniel Hall, Director (Lead Analyst)
+1 (646) 731-2421
daniel.hall@kbra.com

Jules Brunier, Senior Analyst
+1 (646) 731-1209
jules.brunier@kbra.com

Jack Kahan, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2486
jack.kahan@kbra.com

Business Development Contact

Daniel Stallone, Director
+1 (646) 731-1308
daniel.stallone@kbra.com

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