CSMC Places $ 402 Million In Loan Mortgage Loans


The combination of stable and recurring loans serves as the underlying collateral for a $ 402 million CSMC 2021-RPL5 mortgage-backed securities transaction.

Credit Suisse is the lead manager / underwriter of the transaction, which has a traditional capital structure using senior subordinate payment priority, according to Fitch Ratings, which expects to rate the bonds. The sequential payment structure locks the principal for the subordinate bonds, in this case classes M-3, B-, and B-2, until the senior bonds, A-1A, A-1X, M -1 are paid in full and M-2 grades.

DLJ Mortgage Capital is sponsoring the deal and has attracted a pool of collateral from several originators. DLJ Mortgage also provides representations and warranties. Primarily mortgage collateral consists of 1,982 peak SPL and RPL, and Fitch estimates that about 90% of loans have been modified. In addition, 21% of loans were recorded as having a two-year history of net payments. Another 67% of loans are considered current, but loans have recently been overdue or have incomplete 24-month payment records.

According to Fitch, 12% of the total loan pool are overdue.

CSMC 2021-RPL5 has an average loan balance of $ 203,036, slightly higher than the 2018-2020 RPL / NPL average for re-employed / non-performing, which is supported by Fitch. On a weighted average basis, loans in CSMC 2021-RPL5 have a higher credit-to-value ratio, 80.3%, than the average RPL / NPL of 74.8%.

To balance some of these aspects of the transaction, Fitch noted that the transaction’s operational risk is well controlled. The service provider, Rushmore Loan Management Services, LLC, is the named service provider for the transaction and has been rated ‘RPS1’ with a stable outlook by Fitch.

In addition, the issuer retained at least 5% of the issued notes, which also helps to ensure the alignment of interests between the issuer and the investor.

Among MSAs in New York, the largest concentration of loans, 18.8%, is in the collateral pool. Among the states, California has the largest concentration with 20.1% of the pool.

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