CSMC 2019-NQM1 Trust

Presale:

CSMC 2019-NQM1 TrustNovember 26, 2019

Preliminary Ratings

Class Rating(i) Amount ($)Interest rate(%)(ii)

Credit enhancement(%)(iii) Class type

A-1 AAA (sf) 228,714,000 Fixed (iv) 29.55 Senior/initial exchangeable

A-2 AA (sf) 21,589,000 Fixed (iv) 22.90 Senior/initial exchangeable

A-3 A (sf) 34,737,000 Fixed (iv) 12.20 Senior/initial exchangeable

M-1 BBB (sf) 16,232,000 Fixed 7.20 Mezzanine/initial exchangeable

B-1 BB (sf) 11,363,000 Fixed 3.70 Subordinate/initial exchangeable

B-2 B (sf) 7,629,000 Fixed 1.35 Subordinate/initial exchangeable

B-3 NR 4,383,492 Net WAC 0.00 Subordinate/initial exchangeable

A-IO-S NR Notional(v) (vi) N/A Excess servicing

XS NR Notional(v) (vii) N/A Monthly excess cash flow/initialexchangeable

PT(viii) NR Notional(viii) (viii) N/A Pass through/exchangeable

R NR N/A N/A N/A Residual

Note: This presale report is based on information as of Nov. 26, 2019. The ratings shown are preliminary. Subsequent information may result inthe assignment of final ratings that differ from the preliminary ratings. Accordingly, the preliminary ratings should not be construed asevidence of final ratings. This report does not constitute a recommendation to buy, hold, or sell securities. (i)The preliminary ratings addressthe ultimate payment of interest and principal. (ii)Interest can be deferred on the classes, and fixed coupons are subject to the pool's net WACrate. (iii)This credit enhancement is solely from subordination. Excess spread also provides credit enhancement. (iv)Beginning on thedistribution date in December 2023 and for each distribution date thereafter, the class A-1, A-2, and A-3 notes will receive the sum of therelated fixed coupon and a step-up interest rate of 1.00%, subject to the pool's net WAC. (v)The notional amount will equal the aggregate statedprincipal balance of the mortgage loans as of the first day of the related due period. (vi)Excess servicing strip. (vii)This class will receive certainexcess amounts. (viii)Certain initial exchangeable notes are exchangeable for the exchangeable notes and vice versa. NR--Not rated. N/A--Notapplicable. WAC--Weighted average coupon.

Profile

Closing date Dec. 5, 2019.

Cut-off date Nov. 1, 2019.

Distribution date The 25th of each month or the next business day, beginning Dec. 26, 2019.

Stated maturity date Oct. 25, 2059.

Presale:

CSMC 2019-NQM1 TrustNovember 26, 2019

PRIMARY CREDIT ANALYST

Sujoy Saha

New York

(1) 212-438-3902

[email protected]

SECONDARY CONTACT

Allison Bernhard

New York

+ 212-438-1488

[email protected]

ANALYTICAL MANAGER

Vanessa Purwin

New York

+ 1 (212) 438 0455

[email protected]

www.standardandpoors.com November 26, 2019 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]






Profile (cont.)

Note balance,including unratedclasses

$324.65 million in aggregate.

Collateral type First-lien, fixed- and adjustable-rate, fully amortizing residential mortgage loans to both prime andnonprime borrowers (some with interest-only periods). The loans are secured by single-familyresidential properties, planned-unit developments, condominiums, and two- to four-familyresidential properties, and most are non-qualified mortgage loans.

Credit enhancement Each class of rated notes has subordination in the form of notes that are lower in payment priorityand excess spread that preserves subordination.

Participants

Issuer CSMC 2019-NQM1 Trust.

Sponsor DLJ Mortgage Capital Inc.

Depositor Credit Suisse First Boston Mortgage Securities Corp.

Master servicer Nationstar Mortgage LLC.

Paying agent/noteregistrar/REMICadministrator

Citibank N.A.

Indenture trustee/ownertrustee

Wilmington Savings Fund Society FSB.

Custodian Deutsche Bank National Trust Co.

Loan data agent DV01 Inc.

Originators Sterling Bank and Trust FSB (contributing 23.87% of the pool by balance), Impac MortgageCorp. (contributing 22.63% of the pool by balance), AmWest Funding Corp. (contributing17.58% of the pool by balance), HomeXpress Mortgage Corp. (contributing 17.15% of thepool by balance), and three other originators (contributing 18.77% of the pool balancecombined, with each making up less than 10.00% of the collateral).

Servicers AmWest Funding Corp., East West Bank, Sterling Bank and Trust FSB, and Select PortfolioServicing Inc.

REMIC--Real estate mortgage investment conduit.

Primary Originators/Loan Sellers Making Up More Than 10% Of The Collateral

Entity By pool balance (%) Due diligence (%) Originator ranking

Sterling Bank and Trust 23.87 100 N/A

Impac Mortgage Corp. 22.63 100 AVERAGE

AmWest Funding Corp. 17.58 100 N/A

HomeXpress Mortgage Corp. 17.15 100 N/A

Others 18.77 100 N/A

N/A--Not applicable.



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Presale: CSMC 2019-NQM1 Trust

Servicer/Master Servicer

Entity By pool balance (%) S&P Global Ratings' select Operation

Select Portfolio Servicing Inc. 55.48 STRONG Primary servicer

Sterling Bank and Trust FSB 23.87 N/A Primary servicer

AmWest Funding Corp. 17.58 N/A Primary servicer

East West Bank 3.07 N/A Primary servicer

Nationstar Mortgage LLC 100% ABOVE AVERAGE Master servicer

N/A--Not applicable.

Rationale

The preliminary ratings assigned to CSMC 2019-NQM1 Trust's mortgage-backed notes reflect ourview of:

- The pool's collateral composition (see the Collateral Summary section below),

- The transaction's credit enhancement,

- The transaction's associated structural mechanics,

- The transaction's representation and warranty (R&W) framework, and

- The geographic concentration.

Overview

CSMC 2019-NQM1 is DLJ Mortgage Capital Inc.'s (DLJ's) second non-qualified mortgage (non-QM)RMBS transaction. DLJ purchased the mortgage loans from AmWest Funding Corp. (AmWest),East West Bank, Sterling Bank and Trust FSB (Sterling), CTBC Bank Corp. (USA) (CTBC),HomeXpress Mortgage Corp. (HomeXpress), Impac Mortgage Corp. (Impac), and SG FundMortgage Acquisition Trust III (SG Fund).

AmWest, East West Bank, and Sterling will service the loans they originate. Select PortfolioServicing Inc. will service the loans originated by CTBC Bank Corp., HomeXpress Mortgage Corp.,Impac Mortgage Corp., and SG Fund. Nationstar Mortgage LLC will act as master servicer. Therepresentation provider for R&W breaches related to the mortgage loans will be made by eitherthe respective originators (for loans originated by AmWest, East West Bank, Sterling, CTBC, andImpac) or the sponsor (for the loans originated by SG Fund and HomeXpress).

Noteworthy Features

Interest to senior classes will step up after four years

Beginning with the distribution date in December 2023 and for each distribution date thereafter,the class A-1, A-2, and A-3 notes will each receive the sum of the applicable fixed coupons and thestep-up note rate of 1.00%, subject to the pool's net weighted average coupon (WAC). Ourpreliminary ratings address the likelihood of the related noteholders receiving the payment of this



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increased note rate and any interest carryforward amounts, as well as all principal distributions towhich they are entitled.

Optional purchase of delinquent loans and loans with underlying breaches

The controlling holder (if it is not the sponsor or an affiliate of the sponsor), at its option, maypurchase any mortgage loan that is 90 or more days Mortgage Bankers Assn. (MBA) delinquentand has not been liquidated, provided that the aggregate stated principal balance of thosemortgage loans do not exceed 10.00% of the aggregate stated principal balance of the mortgageloans as of the cut-off date.

In addition, the transaction also features a provision that allows the sponsor to repurchase certainloans (for which the applicable originator is not a representation provider) at the repurchase priceto effectuate a remedy with respect to a R&W or covenant made by the related originator, providedthat the aggregate stated principal balance of those mortgage loans do not exceed 10.00% of theaggregate stated principal balance of the mortgage loans as of the cut-off date.

Collateral Summary

CSMC 2019-NQM1's assets consist primarily of fixed- and adjustable-rate, fully amortizing,non-QM, and ability-to-repay (ATR) exempt loans secured by first liens on residential properties(the mortgage loans). The mortgage pool consists of 697 mortgage loans with a principal balanceof approximately $324.65 million as of the cutoff date. The vast majority of the loans in the poolhave 30-year original terms to maturity, and the pool's weighted average seasoning isapproximately nine months from origination date (see table 1).

The collateral pool, from a credit perspective, is weaker than the S&P Global Ratings' archetypalprime pool, but it is generally in line with our expectations for a non-QM residential mortgage pool.The 'AAA' loss coverage for the pool was determined to be 23.55%. Certain characteristics of themortgage loans that we considered weaker than the archetypal pool in our analysis (see theStrengths And Weaknesses section) include:

- Alternative income documentation,

- Loan type,

- Occupancy type,

- Non-QM status on most loans,

- Foreign borrowers, and

- Geographic concentration.

The weighted average current FICO score for the collateral pool is 715, based on certain S&PGlobal Ratings assumptions (see table 2 for a breakdown of the pool by the borrowers' FICO score).For loans made to foreign borrowers (foreign nationals and non-permanent resident aliens, about10.6% by pool balance), we applied a 1.5x multiple to the foreclosure frequencies. The foreignborrowers in the pool have significant equity in their homes, with a weighted average currentcombined loan-to-value (CLTV) ratio of approximately 55.1%. While some foreign borrowers had aFICO score (average score of 725), many did not. We assigned a FICO score of 659 to 43 foreignborrowers who did not have FICO scores. Because we understand the underlying borrower profileto be relatively homogenous, we believe assigning the average FICO of the collateral pool minusone standard deviation (719 minus 60) reflects the risk of foreign borrowers lacking FICO scores.



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Mortgage loans backed by properties that are primary residences account for approximately73.5% of the pool (by balance). Of the pool balance, 58.9% of the mortgages are backed bysingle-family residences, 24.1% are backed by planned-unit developments, 13.1% are backed bycondominiums, and 3.9% are backed by two- to four-family homes.

Table 1

Collateral Characteristics

CSMC2019-NQM1

CSMC2019-AFC1

ARRW2019-3

ARRW2019-2

ARRW2019-1

EFMT2019-2

Ellington2019-1

Archetypalpool(i)

Closing pool balance (mil.$)

324.6 355.8 975.1 945.5 291.8 267.3 226.9 N/A

Closing loan count (no.) 697 739 2271 2290 753 613 497 N/A

Avg. loan balance ($) 465,778 481,526 429,356 412,871 387,569 435,979 456,566 N/A

WA original CLTV (%) 66.4 67.3 62.4 61.6 60.7 68.5 67.9 75

WA current CLTV (%) 65.2 66.9 60.4 59.8 56.9 67.1 67.4 75

WA FICO(ii) 715 739 730 734 734 707 712 725

WA current rate (%) 5.9 5.8 5.4 5.6 5.5 6.2 6.2 N/A

WA original term (mos.) 362 358 358 358 359 372 373 360

WA seasoning (mos.) 9 4 17 16 28 9 5 0-6

WA debt-to-income (%) 35.7 38.3 37.7 38.9 38.65 37.3 37.2 36

WA DSCR (non-zero) 1.2 0 1.25 1.28 1.16 1.15 1.09 N/A

Owner occupied (%) 73.5 73.3 64.4 64.8 63.7 69.1 72.6 100

Single-family (includingunattached and attachedPUD) (%)

83.0 87.4 72.0 75.3 78 85.1 84.3 100

Adjustable-rate loans (%) 74.1 83.5 85.5 80.8 87.4 80.8 63.3 0

Loans with IO payments(%)

6.8 5.5 3.6 2.9 1.9 15 15.9 0

Purchase (%) 59.0 58.5 68.2 65.6 76 59.2 52.1 100

Cash-out refinancing (%) 26.3 32.2 22.8 25.0 17.2 32.5 39.6 0

Full documentation (%) 44.6 38.7 48.9 44.1 30.4 32.3 31.9 100

Alternative/bankstatement/P&L statementdocumentation (%)

41.9 59.6 42.8 36.3 37.7 61.2 60.2 0

Other/assetdepletion/DSCRdocumentation (%)

13.5 1.7 8.3 19.6 31.9 6.6 7.9 0

Self-employed borrowers(%)(iii)

46.3 61.6 46.0 41.5 42 74 65 0

Loans with co-borrowers(%)

25.6 14.1 14.9 16.8 14.5 38.6 39.9 0

Loans to borrowers withmultiple mortgages (%)(iv)

3.8 0.0 5.2 7.2 0.6 0 9.9 N/A

Loans to foreign borrowers(%)(foreign national andnon-permanent residentaliens)

10.6 11.2 11.6 10.5 17.9 6.6 8.8 0



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Table 1

Collateral Characteristics (cont.)

CSMC2019-NQM1

CSMC2019-AFC1

ARRW2019-3

ARRW2019-2

ARRW2019-1

EFMT2019-2

Ellington2019-1

Archetypalpool(i)

Modified loans (%)(v) 0.0 0.0 0.0 0 0 0 0 0

PCEs (%)(v) 1.7 0.0 3.5 1.7 3 0.6 1.3 0

Current (%) 100.0 100.0 100.0 100 100 100 100 100

30-plus day delinquent (%) 0 0 0 0 0 0 0 0

Length of P&I advancing(mos.)(vi)

6 6 6 6 6 6 6 Full

Pool-level adjustments (multiplicative factors)

Geographicconcentration

1.18 1.17 1.24 1.25 1.25 1.02 1.03 1

Mortgage operationalassessment

1.03 1.05 1 1 1 1 1 1

Representations andwarranties

1.1 1.1 1.1 1.1 1.1 1.05 1.05 1

Other (i.e., loanmodification/PCE/duediligence)

1.03 1 1 1.01 1.01 1.01 1.02 1

Combined pool-leveladjustments(vii)

1.39 1.35 1.36 1.39 1.39 1.08 1.1 1

Loss estimation

'AAA' loss coverage (%) 23.55 16.05 12.90 12.90 11.70 22.35 22.60 7.5

'AAA' foreclosurefrequency (%)

44.79 33.77 31.66 31.49 29.44 44.41 44.12 15

'AAA' loss severity (%) 52.58 47.53 40.75 40.97 39.74 50.33 51.22 50

'BBB' loss coverage (%) 7.35 4.20 3.20 3.30 2.90 7.10 7.05 1.5

BBB' foreclosurefrequency (%)

22.67 16.31 15.1 15.07 13.94 22.65 22.58 5

'BBB' loss severity (%) 32.42 25.75 21.19 21.9 20.80 31.35 31.22 30

(i)As defined in our Feb. 22, 2018, criteria article. (ii)FICO reflects the most recent scores obtained. For CSMC 2019-NQM1, we assumed 659 forforeign borrowers who are missing FICO scores. (iii)Where either borrower or co-borrower is self-employed/ unknown. (iv)Limited to borrowerswho have multiple mortgage loans or properties included in the securitized pool. (v)Limited to modified and PCE loans considered in ouranalysis. (vi)Months of P&I advancing on a delinquent mortgage loan to the extent such advances are deemed recoverable. (vii)Combinedpool-level adjustments are the product of each pool-level adjustment listed above. WA--Weighted average. CLTV--Combined loan-to-valueratio. DSCR--debt service coverage ratio. PUD--planned-unit development. IO--Interest-only. PCEs--Prior credit events. P&I--Principal andinterest. N/A--Not applicable.

Table 2

Updated Credit Score Statistics

FICO score(i) Current balance (%)

800 or greater 3.24

775-799 13.03

750-774 15.85

725-749 16.82



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Table 2

Updated Credit Score Statistics (cont.)

FICO score(i) Current balance (%)

700-724 15.30

675-699 12.05

650-674 13.05

625-649 3.67

600-624 3.04

575-599 1.43

550-574 1.25

525-549 0.79

500–524 0.31

Less than 500 0.18

(i)Foreign borrowers without FICO scores were assumed to have FICO scores of 659.



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Transaction Structure

The chart below shows an overview of the transaction's structure.

Chart

The transaction is structured as a double true sale of the assets from the sponsor (DLJ) to thedepositor (Credit Suisse First Boston Mortgage Securities Corp.) and from the depositor to theissuing trust (CSMC 2019-NQM1). The issuing trust will transfer the notes to the depositor, andthe depositor will sell certain classes of notes to the initial purchasers, who will then sell them tothird-party investors. The depositor will sell the non-offered notes, as well as those required to beheld to satisfy the risk retention rules, to an affiliate of the sponsor.

In rating this transaction, S&P Global Ratings will review the legal matters it believes are relevantto its analysis, as outlined in its criteria.



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Strengths And Weaknesses

We believe the following characteristics strengthen the CSMC 2019-NQM1 transaction:

- The mortgage pool generally consists of loans to borrowers with considerable home equity, asdemonstrated by the pool's weighted average original and current CLTV of 66.4% and 65.2%,respectively.

- The weighted average FICO score is 715 (which incorporates certain S&P Global Ratingsassumptions for borrowers lacking FICO scores), with roughly half of borrowers having FICOscores at 725 or higher.

- The third-party due diligence providers--Clayton Services LLC (Clayton), AMC Diligence LLC(AMC), Opus Capital Market Solutions LLC (Opus), and Inglet Blair LLC (Inglet Blair)--are on ourlist of reviewed providers, and they performed due diligence on 100% of the pool's loans. Theirreviews encompassed regulatory compliance, credit (underwriting) compliance, propertyvaluations (although grades were not provided by Opus for certain more-seasoned loans forwhich we do not expect diligence on valuation), and data quality.

- The class A-1, A-2, and A-3 notes (the senior classes) benefit from a credit support floor inwhich no principal is paid to the subordinate classes until the class A notes are retired.Additionally, principal is paid sequentially among the senior classes in periods when thecumulative loss or delinquency trigger has failed, further protecting the more-senior classes.

We believe the following factors weaken the CSMC 2019-NQM1 transaction:

- Income on certain mortgage loans (55.4% by pool balance) were verified using "alternative"methods (e.g., business profit and loss statements) or "other" methods (e.g., asset depletion).We view income verification using "alternative" and "other" documentation to be weaker than"full" documentation, and, consequently, increased our loss coverages for these loans byapplying an adjustment to the foreclosure frequencies. We generally applied an adjustmentfactor ranging from 1.75x to 4.00x to the foreclosure frequencies, depending on the length andtype of income verification.

- Non-QM loans, which have an increased risk of ATR challenges and associated losses, make up75.2% of the pool by balance. We applied an adjustment to loss severities per our criteria toaccount for this risk.

- About 10.6% of the pool exposure is to foreign borrowers(that include non-permanent residentaliens). We applied a 1.50x factor to the foreclosure frequencies to account for our view ofpotentially higher default risk posed by these borrowers.

- The R&Ws related to the individual mortgage loans were made by either the respectiveoriginators (for the loans originated by AmWest, East West, Sterling, CTBC, and Impac) or thesponsor (for loans originated by SG Fund and HomeXpress). The R&Ws in this transaction aregenerally consistent with the set of representations published in our criteria. However, we viewthe R&W framework to be weak for various reasons, including because the review mechanismdoes not require an automatic review for breaches. A third-party due diligence on all of theloans somewhat mitigates the weaknesses of the framework. Consequently, we applied a R&Wadjustment that increased our loss expectations at all rating levels by a 1.1x factor.

- The transaction is geographically concentrated in the urban areas of California.



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Credit Analysis And Assumptions

Our analysis of the CSMC 2019-NQM1 collateral pool considered a number of factors, includingcertain loan-level characteristics.

Documentation type

The underyling origination guidelines allow income verification using paystubs, W-2s or W-2equivalents, tax returns, written verification of employment (WVOE), bank statements, profit andloss statements, award letters, asset depletion/underwriting, investor-property rental income, ora combination these documents. Table 3 shows the breakdown of the documentation type used inour analysis.

Table 3

Documentation Type (Income Verification Type/Length)

Loancount

(no.)

Currentbalance

(%)

Alternative incomeverification length(WA no. of months)

Foreclosurefrequency

adjustmentfactors (x)

AAA Foreclosurefrequency without

pool adjustmentfactors (%)

Full documentation

Appendix Q/qualifiedmortgage

16 1.68 - 1.00 31.9

Full (24-plus months) 212 32.60 - 1.00 23.5

Full (12-23 months) 43 6.09 - 1.25 19.2

Full (1-11 months) 25 4.27 - 1.50 18.1

Alternative documentation(i)

24-plus months (primary source)

Business bank statements 38 5.55 24.3 1.75 51.6

Personal bank statements 9 1.53 24.2 1.75 53.8

P&L w/CPA letter 1 0.55 24.0 1.75 41.4

CPA Letter 3 0.33 24.0 1.75 34.8

12-23 months (primary source)



P&L w/CPA letter 60 12.77 14.0 2.00 40.6

CPA letter 0 0.00 0.0 2.00 0.0

1-11 months (primary source)



P&L w/CPA letter 1 0.12 11.0 2.25 14.1

CPA letter 0 0.00 0.0 2.25 0.0

Other documentation

Other (DSCR) 93 5.77 0.0 3.15-6.00 49.3



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Table 3

Documentation Type (Income Verification Type/Length) (cont.)

Loancount

(no.)

Currentbalance

(%)

Alternative incomeverification length(WA no. of months)

Foreclosurefrequency

adjustmentfactors (x)

AAA Foreclosurefrequency without

pool adjustmentfactors (%)

Other (applied 0.00 DSCR) 0.00 0.0 6.00 0.0

Other (assetunderwriting/depletion)

55 7.74 0.0 3.00 45.0

(i)The documentation source may include other secondary documentation types. WA--Weighted average. P&L--Profit and loss.DSCR--Debt-service coverage ratio.

Traditional (full) documentation was used for fully verifying and calculating the borrower's orborrowers' qualifying income (e.g., WVOE, pay stubs, W-2s, personal and business tax returns, andrental income) on roughly 44.6% of the pool by balance. Most of these (34.2%) used WVOE todocument income, and the remainder (10.4%) used either W-2s, tax returns, or tax transcripts orwere qualified mortgages. We applied a documentation type adjustment factor ranging from 1.00xto 1.50x, depending on the length of the income verification.

Income on certain mortgage loans (41.9% by pool balance) were verified using alternative methods(such as bank statements and profit and loss statements). We view income verification usingalternative documentation to be weaker than full documentation, and, consequently, increasedour loss coverages for these loans by applying an adjustment to the foreclosure frequencies. Weapplied an adjustment factor ranging from 1.75x to 2.25x to the foreclosure frequencies,depending on length of income verified.

Ninety-three loans (5.8% by pool balance) were underwritten under a lending program thatconsidered the investment property's cash flow rather than the borrower's verified income. Weclassified these loans as other documentation loans, with a debt-service coverage ratio (DSCR)flag; and applied a 3.15x-4.00x adjustment to the foreclosure frequencies, based on a DSCR valuethat ranged from 2.87x to 1.00x.

The remaining 55 loans in the pool (7.7% by pool balance) were underwritten using otherdocumentation standards, such as asset underwriting or asset depletion (when the originatoruses liquid assets and calculates an income stream). We classified these loans as otherdocumentation loans and applied a 3.00x adjustment to the foreclosure frequencies.

Some loans used a combination of documentation types, in which case we assumed thedocumentation type with the higher foreclosure frequency adjustment. For example, if incomefrom a W-2 was combined with asset depletion, we classified it as other documentation.

QM and ATR standards

The Consumer Financial Protection Bureau issued final regulations for mortgage loans withapplications submitted on or after Jan. 10, 2014, specifying the standards for a qualified mortgage(QM). By pool balance, about 23.1% of mortgage loans are exempt because they are investorproperties and 1.7% are QM/higher-priced mortgage loans. According to the designation theissuer provided, the remaining loans are designated as non-QM/ATR compliant (see table 4 for aQM breakout).

Under the ATR rule, as described in our criteria (see Appendix I of "Methodology And Assumptions



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For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018), the originators and anyassignee are jointly and severally liable for certain damages that may be incurred fromnoncompliance with the rule. For each loan in the pool that is subject to the rule, we applied ourcriteria and determined that additional credit enhancement was needed at all rating categories.The data the issuer provided to S&P Global Ratings, which included additional fields that validatethe loan's QM designation, were reviewed by the due-diligence firms under the third-partydue-diligence firms' scope to verify that documentation exists to support the QM designation.

Table 4

QM Breakout

QM status Pool balance ($) % by pool balance

QM/non-HPML 0 0

QM/HPML 5,443,988 1.68

Non-QM/ATR compliant 244,190,754 75.22

Not covered/ATR exempt 75,012,750 23.11

Total 324,647,492 100.0

QM--Qualified mortgage. HPML--Higher-priced mortgage loan. ATR--Ability to repay.

Servicer advancing obligations

Each servicer must advance delinquent principal and interest (P&I) payments on any delinquentmortgage loan until it is either greater than 180 days delinquent (limited P&I advancing) or thatP&I advance is deemed unrecoverable. To the extent that a servicer fails to make a required P&Iadvance, the master servicer will have an obligation to make such P&I advance; and if the servicerand the master servicer fail to make a required P&I advance, the paying agent will have anobligation to make such P&I advance. Unlike P&I advances, each servicer must always advancedelinquent taxes and insurance (and other property preservation advances) until the relatedproperty is liquidated or the servicer deems the advance to be unrecoverable. We adjusted the lossseverities to account for this limited P&I advancing.

Borrowers with multiple loans

We made no additional adjustment to the loss coverage or the tail risk analysis, as only 16borrowers have multiple loans in the CSMC 2019-NQM1 pool, with no borrowers having more thanthree loans each. These loans combined represent 3.8% of the pool balance.

Structural Features

Like other non-QM RMBS transactions, this is a mix of pro rata and sequential structures.Principal is paid pro rata among the senior classes (subject to passing a cumulative loss anddelinquency trigger test) and then sequentially to the subordinate classes. In the periods when acumulative loss or delinquency trigger fails, principal is paid sequentially to classes A-1, A-2, andA-3.

The transaction also uses excess monthly cash flow to cover current-period realized losses andreimburse any previously applied realized loss amounts. This feature allows certain notes (classes



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M-1, B-1, and B-2) to have the initial credit enhancement provided by subordination to be lowerthan our estimated loss coverage amounts.

The paying agent will make monthly distributions of interest from the interest remittances andprincipal from principal remittances (see tables 5-8).

The interest remittance amount includes the interest collected from or advanced on behalf ofborrowers (including interest payments that accompany prepayments, any compensating interestand interest portions of liquidation proceeds [minus expenses], subsequent recoveries,termination prices, and repurchase amounts) minus servicing, master servicing, trustee, loan dataagent, paying agent, and custodial fees, as well as the servicer advance reimbursements,reimbursable expenses incurred by the controlling holder, and extraordinary expenses, which aregenerally capped at $425,000 annually. Although the extraordinary expenses are passed throughas reduced contractual interest due to security holders, we ran these expenses at their cappedamounts, as described in the Interest Stresses section below. We also considered theextraordinary expenses when analyzing projected interest reduction amounts, as described in theImputed Promises Analysis section below.

Principal remittance amounts include the principal collected from or advanced on behalf ofborrowers (including prepayments, principal portions of liquidation proceeds [minus expenses],subsequent recoveries, termination prices, and repurchase amounts) minus fees, includingextraordinary trust expenses that could not be paid from interest collections.

Table 5

Interest Payment Waterfall

Priority Payment

1 Interest and interest carryforward amounts(i) sequentially to the class A-1, A-2, A-3, M-1, B-1, B-2,and B-3 notes, in that order.

2 Any remaining amounts paid as part of monthly excess cash flows.

(i)Interest carryforward amounts are deferred interest payments that accrue interest at the lower of the respective fixed coupon and the netweighted average coupon rate. Our preliminary ratings address the full payment of all interest and interest carryforward amounts by the finalmaturity date.

Table 6

Principal Payment Waterfall (If The Cumulative Loss And Delinquency Triggers Pass)

Priority Payment

1 Interest and interest carryforward amounts (to the extent not paid after allocation of the interestremittance amount) sequentially to the class A-1, A-2, and A-3 notes.

2 Principal concurrently to the class A-1, A-2, and A-3 notes, paid pro rata until reduced to zero.

3 Interest and interest carryforward amounts to a subordinate class, followed by principal to thatsubordinate class until reduced to zero--paid sequentially to classes M-1, B-1, B-2, and B-3, inthat order, with both interest and principal paid to a class before payments to the next class(IPIP).


IPIP--Interest principal, interest principal.



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Table 7

Principal Payment Waterfall (If The Cumulative Loss Or Delinquency Triggers Fail)

Priority Payment

1 Interest and interest carryforward amounts (to the extent not paid after allocation of the interestremittance amount) to the classes, followed by principal to that class until reduced to zero--paidsequentially to classes A-1, A-2, A-3, M-1, B-1, B-2, and B-3, in that order, with both interest andprincipal paid to a class before payments to the next class (IPIP).


IPIP--Interest principal, interest principal.

Table 8

Monthly Excess Cash Flow Waterfall

Priority Payment

1 Sequentially, up to the realized loss amount for the current period, to the class A-1, A-2, A-3, M-1, B-1, B-2,and B-3 notes, in that order, until each note is reduced to zero.

2a Sequentially, up to the aggregate applied realized losses, to the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3notes, in that order, until each note is reduced to zero.

2b Sequentially, to the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 notes, in that order, to reimburse the classesapplied realized loss amounts previously allocated to them (to the extent the applicable note amount has notbeen previously written up).

3 To the cap carryover reserve account, up to the aggregate cap carryover amount(i) for the class A-1, A-2, A-3,M-1, B-1, and B-2 notes for that payment date; and then sequentially, from amounts on deposit in the capcarryover reserve account, to the class A-1, A-2, A-3, M-1, B-1, and B-2 notes, in that order, any unpaid capcarryover amounts on those classes.

4 To the class XS notes, any class XS interest payment amount and any previously accrued and unpaid class XSinterest payment amount.

5 To the transaction parties, pro rata, any fees, expenses, or indemnification amounts not previously paid dueto the application of the annual cap and any subcaps.

6 Any remaining amounts to the class R notes.

(i)The cap carryover amount is the positive difference between the interest that would have accrued at the fixed coupon (without regard to thenet WAC rate) and the actual amount due, based on the net WAC rate. Any prior unpaid cap carryover amounts also accrue interest at the fixedcoupon. Our preliminary ratings do not address the payment of cap carryover amounts. WAC--Weighted average coupon.

Interest on classes A-1, A-2, A-3, M-1, B-1, and B-2 is based on the lower of the coupon on thenotes and the net WAC rate. For class B-3, interest is equal to the net WAC rate. The net WAC rateis defined as the weighted average of the mortgage interest rates of the loans, net of fees, andextraordinary trust expenses weighted, based on the loans' principal balances. In line with ourimputed promises criteria, our preliminary ratings address the lower of these two rates (see"Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014).

Under the transaction documents, the issuer can defer interest payments on these securities. Afailure to pay the interest amounts due on the securities will result in the interest being deferred.Deferred interest (interest carryforward amounts) accrues interest at the lower of the fixed rateand the net WAC rate for classes A-1, A-2, A-3, M-1, B-1, and B-2 and the net WAC rate for classB-3. Our preliminary ratings on the classes address the P&I payments (including interestcarryforward amounts) by the notes' final maturity date.

Our preliminary ratings, however, do not address the payment of cap carry-over amounts (i.e., thedifference between the fixed coupon and the net WAC cap, where the fixed coupon exceeds the net



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WAC cap), which are subordinated in the payment priority. In our view, neither the notes' initialcoupons nor the initial net WAC rates are de minimis, and nonpayment of the cap carryoveramounts is not considered an event of default under the transaction documents. Therefore, in linewith our criteria for imputed promises, we do not need to consider whether these cap carry-overamounts are paid in our cash flow analysis.

The subordinate classes are paid principal sequentially after all senior classes have been paid.Unlike the credit enhancement seen in shifting-interest RMBS structures, which may deplete dueto scheduled and prepaid principal paid to the subordinate classes, the credit enhancementprovided by the subordinate classes in this transaction does not deplete because no principalpayments are made to a mezzanine or subordinate class unless it is the most senior classoutstanding.

Although principal is paid pro rata among the senior classes from the start and there is no specificcredit enhancement floor that would switch the payment priority of the senior classes tosequential, we believe that the transaction is adequately enhanced for the assigned preliminaryratings. Our view considers any tail risk considerations (see the Large Loans And Tail RiskConsiderations section). The transaction starts with 12.20% enhancement for the senior classes,which then grows as a percentage of the current balance as they are paid down. Additionally, thecumulative loss and delinquency triggers (see tables 9 and 10) protect the more-senior classes intail risk situations if defaults increased much later in the transaction's life (a back-ended defaultcurve) by switching the payment priority among the senior classes to sequential.

Table 9

Cumulative Loss Trigger Event

Distribution date occurring in the followingperiods

Applied realized loss amounts since closing date (% of the cut-offdate pool balance)

December 2019–November 2022 2.00



December 2024 and thereafter 6.50

Table 10

Delinquency Trigger Event

Distribution date occurring in thefollowing periods

Six-month average of 60-plus day delinquent plus loans modified in past 12months (% of the current pool balance)



December 2024 and thereafter 20.00

If the aggregate class balance of the notes exceeds the pool balance, the resulting excess (theapplied realized loss amount) is applied in reverse sequential order to the class B-3, B-2, B-1,M-1, A-3, A-2, and A-1 notes, in that order, until each class' principal balance has been reduced tozero.

If the pool balance exceeds the aggregate class balance of the notes (after the allocation ofprincipal payments and monthly excess cash flows to pay down the notes), the balances of theclass A-1, A-2, A-3, M-1, B-1, B-2, and B-3 notes will be "written up" to the aggregate amount ofapplied realized losses.



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Geographic Concentration

S&P Global Ratings analyzes the pool's geographic concentration risk, based on theconcentrations of loans in each of the core-based statistical areas (CBSAs) defined by the U.S.Office of Management and Budget (see Appendix II of "Methodology And Assumptions For RatingU.S. RMBS Issued 2009 And Later," published Feb. 22, 2018). In this transaction, the top fiveCBSAs account for roughly 60.8% of the aggregate pool (see table 11). Because of this geographicconcentration, we applied a Herfindahl-Hirschman Index adjustment factor (a concentrationmeasure based on the sum of the squared CBSA concentrations related to a benchmarkconcentration) of 1.18x to our base loss coverage estimate.

Table 11

Geographic Concentration

CBSA code(i) CBSA State % by pool balance

31084 Los Angeles-Long Beach-Glendale California 32.3

11244 Anaheim-Santa Ana-Irvine California 12.2

40140 Riverside-San Bernardino-Ontario California 5.7

36084 Oakland-Hayward-Berkeley California 5.7

41884 San Francisco-Redwood City-South San Francisco California 4.8

Top five - - 60.8

(i)CBSA code refers to the metropolitan division code, if available. CBSA--Core-based statistical area (includes metropolitan statistical areasand metropolitan divisions where defined, as well as micropolitan statistical areas).

Large Loans And Tail Risk Considerations

As the number of loans in the transaction decreases, the effect of a single loan's losses becomesgreater. If conditional prepayment rates are slow and collateral pool losses are not realized untillater in a transaction's life (back-loaded losses), pro rata pay mechanisms can then leave thesenior classes exposed to event risk later in the transaction's life (for more information on tail riskin RMBS transactions, see "Older RMBS Transactions Face Increased Tail Risk As Their PoolsShrink," published Aug. 9, 2012). To mitigate this risk, certain transactions provide for a creditenhancement floor, specifying principal payments not be made to subordinate classes if the creditsupport available to the senior classes falls below a threshold. This transaction does not explicitlyprovide a credit enhancement floor. However, due to the sequential payment mechanism to thesubordinate classes, which make up 12.20% of the capital structure, the 'AAA (sf)', 'AA (sf)', and 'A(sf)' rated classes effectively have a floor of 12.20% initially. Although, over time, subordinationcan be depleted due to realized losses, the effective floor to the more-senior classes can increasewhen losses or delinquencies go over certain thresholds and trip the cumulative loss ordelinquency trigger making the payment priority fully sequential.

To analyze the appropriateness of this effective credit enhancement floor, we use an approachoutlined in "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later,"published Feb. 22, 2018. Per this approach, instead of focusing on the largest loans by poolbalance at issuance, we risk-weight the loans in the transaction by focusing on those loans withthe largest expected loss exposure assuming default.

After considering the enhancement provided in the transaction in conjunction with the cumulative



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loss and delinquency triggers and the expected paydown on the classes, we believe the ratedsenior classes are sufficiently protected from tail risk as the transaction seasons.

Mortgage Operational Assessment

Overview

The transaction pool consist of loans originated by Sterling (23.9%), Impac (22.6%), AmWest(17.6%), HomeXpress (17.2%), CTBC (8.2%), SG Fund (7.5%), and East West Bank (3.1%).

We conducted a transaction-specific mortgage operational assessment (MOA) of DLJ's acquisitionprocess for non-QM mortgage loans. As part of the review, we participated in a call with DLJ'smanagement to get an overview of the firm and an understanding of its non-QM acquisitionprocesses.

Our qualitative review is based on our assessment of three primary focus areas for operationalreviews for aggregators: management and organization, including risk management and financialposition; loan purchase and aggregation, including property valuation processes; and internalcontrols, including operational reviews of originators, pre-purchase data quality, post-purchasequality control, and regulatory compliance. For our quantitative analysis, we reviewed theacquisition volume, loan characteristics, and loan performance history, including delinquencies,early payment defaults (EPDs), and repurchases.

DLJ

DLJ was incorporated in 1988 and has been engaged in securitization of assets since its inception.DLJ, headquartered in New York, is a standalone company within the Credit Suisse family ofcompanies. DLJ with other Credit Suisse (CS) affiliated companies is licensed to buy mortgagesand service loans in every U.S. state. The Securitized Product Group within DLJ focuses onnumerous types of assets cash flows that can be securitized. The group that focuses onresidential mortgages has about 70 members, about half of which are shared resources. DLJfunds its purchases primarily through CS's corporate treasury and sometimes uses third-partyfunding sources strategically.

Since the second-quarter of 2018, DLJ has purchased non-QM loan pools from 12 sellers.Although DLJ has a short history of purchasing non-QM loans, it has extensive experiencepurchasing, trading, and securitizing re-performing and seasoned residential mortgage loans, aswell as pre-2009-crisis experience with subprime, Alternative-A and second-lien collateral. Newsellers from who non-QM loans are acquired are added after a thorough review of their guidelinesand processes. DLJ's strategy is one of slow measured growth and bulk purchases from selectsellers who have the capacity and balance sheet to originate loans and take in a few payments. In2019, DLJ acquired about $1 billion in non-QM loans and completed one prior securitization withnon-QM collateral.

As a subsidiary of a global investment bank (Credit Suisse), DLJ benefits from an internal auditdepartment and an external audits of its financials. It has a three-person legal team and atwo-person compliance team for the securitized product group, and it primarily relies on theexpertise of outside counsel for compliance-related functions or questions and to keepup-to-date with changes to lending laws.

DLJ conducts 100% due diligence on loans that it acquires using third-party review firms that are



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on S&P Global Ratings' reviewed list (see "S&P Global Ratings Publishes List Of Third-Party DueDiligence Firms Reviewed For U.S. RMBS As Of Aug. 5, 2019," published Aug. 5, 2019). The scope ofthe review, which is consistent with market standards, comprises a full review of these loans(credit, compliance, and property valuation). In addition, DLJ has the benefit of conductingadditional valuation diligence if and when required using Residential RealEstate Review (RRR),which is a subsidiary of Select Portfolio Servicing, a servicer and an affiliate of DLJ.

Our quantitative analysis was based on our review of loan performance information provided byDLJ as of September 2019. The company has limited loan performance history on non-QM loans,since it started aggregating non-QM loans in second-quarter 2018. Although DLJ has experiencedhousing and economic downturn over its life, its non-QM loans have not gone through a downturn.

We reviewed DLJ's origination volume and loan performance history, including delinquencies,EPDs, losses, and repurchases. As expected, given the loans' limited seasoning, the companyreported that the loans in its portfolio have experienced minimal 60- or 90-plus-day delinquenciesor early payment defaults and no losses. As of September 2019, DLJ has put back two non-QMloans for EPDs, since it started acquiring non-QM loans in 2018.

Based on the results of our MOA, we determined a loss coverage adjustment factor of 1.05x forthis transactions, which accounts for DLJ's seasoned management team, long operating andsecuritization history, external audit functions, and 100% due diligence review of its loanacquisitions, tempered by its short operating track record and limited mortgage loan performancein the non-QM sector.

Mortgage originator concentration

In addition to our transaction-specific MOA of DLJ, we reviewed historical performance data ofnon-QM loan's in DLJ's portfolio that it purchased from Sterling and Impac, which representapproximately 24% and 23% of the pool balance, respectively. While no Sterling loans are 30-plusdays delinquent in DLJ's non-QM acquisitions, a few Impac-originated loans are 30-plus daysdelinquent. As of September 2019, 0.71% of the loans in DLJ's aggregate non-QM portfolio were30 days delinquent, while 0.03% were 60 days delinquent and 0.67% were 90 days delinquent.

Based on the results of this analysis, we concluded that the historical performance of these loanswas comparable to the performance of the loans in DLJ's total portfolio. We determined that theMOA loss coverage adjustment factor of 1.05x is also appropriate for the loans originated bySterling. For the loans originated by Impac, we applied a 1.00x adjustment to the loss coverage atall rating categories, based on our MOA review and ranking of Impac (see below).

Impac Mortgage Corp.

Our overall MOA on Impac as a non-QM residential mortgage originator is AVERAGE, which reflectsour AVERAGE qualitative and LIMITED quantitative subrankings. Based on the results of our MOA,the loss coverage adjustment factor for Impac is 1.00x.

Impac's non-QM platform was launched in 2014 with the first funding in September 2014. In 2015,Impac acquired the mortgage operations of CashCall Inc., a centralized consumer directorigination platform.

Our overall ranking on Impac reflects our view of the following strengths:

- Its highly experienced senior management team;

- Its long operational track record with measured growth;



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- Its experienced risk management and compliance teams, which have independent reportinglines;

- Its use of multiple risk committees;

- Its focus on producing quality originations through multiple channels;

- Its thorough reviews of its correspondent originators;

- Its strong appraisal management practices;

- Its experienced underwriting management team averaging over 20 years of industry experience;

- Its well-defined exception approval process;

- Its use of third-party tools to verify borrower and loan information;

- Its well-defined quality control process, with resulting action plans based on defects; and

- All non-QM loans are reviewed by a third-party due diligence firm.

These strengths are partially offset by the following potential weaknesses:

- Impac has a limited loan performance history in the non-QM space because it only beganoriginating non-QM loans in the third-quarter of 2014.

- Impac did not make its internal audit reports available to us for review. However, we reviewedits internal audit schedules and had a general discussion with senior internal auditmanagement about internal audit results and findings.

- The unproven track record of the CEO recently appointed in July 2018, notwithstanding hissignificant industry experience and role as the president since November 2017.

The overall AVERAGE ranking also reflects our LIMITED quantitative subranking of the company'snon-QM historical loan performance and our AVERAGE qualitative subranking of its loanorigination and underwriting process.

MOA Adjustment factor

Overall, we applied a total MOA loss coverage adjustment factor of 1.03x for the aggregate pool,which includes MOA loss coverage adjustment factors for any originator for which we have aresidential MOA ranking.

Third-Party Due Diligence Review

Clayton, AMC, Opus, and Inglet Blair performed third-party due diligence on 100% of the loans inthe transaction. The scope of their review of the loans encompassed data quality, compliance (asapplicable), credit, and valuation reviews. All loans fell within the scope of TILA-RESPA IntegratedDisclosure rule (TRID). For these loans, the third-party firms followed the SFIG RMBS 3.0 TRIDCompliance Review Scope in conducting their final loan reviews (see "Standard & Poor'sComfortable With SFIG Draft Proposal Regarding TRID Due Diligence," published April 25, 2016).According to our published third-party due diligence criteria, we adjust our loss expectationsbased on our view of the firms' findings (see Appendix III of "Methodology And Assumptions ForRating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018).

The results of the due diligence review include:



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- Twenty-one loans received a grade "C" for credit related reasons.

- Four loans received a grade "C" for a valuation related reasons.

- Eleven loans received a regulatory compliance grade of "C" related to TRID rule findings, and weanalyzed the pool by adding $34,000 to our loss severity estimate for these loans at all ratingcategories, based on our criteria.

After reviewing the third-party due diligence results, we applied a final rounded adjustment of1.01x to the loss coverage at all rating levels.

R&Ws

The collateral pool consists of loans from various originators that sold the loans to the sponsor.The R&Ws related to the individual mortgage loans were made by either the respective originators(for the loans originated by AmWest, East West, Sterling, CTBC and Impac) or the sponsor (forloans originated by SG Fund and HomeXpress). The R&W framework is consistent with the otherR&W frameworks utilized in comparable non-QM transactions rated by S&P Global Ratings.However, we consider it to be weak because the controlling holder (the majority owner of the classXS notes and, initially, an affiliate of the issuer) has the option (and not the obligation) to test forR&W breaches on loans that incur a loss (other than any loans, subject to losses and an ATRclaim). ATR notice loans are automatically reviewed for R&W breaches. If a loan was judiciallydetermined to have a TRID finding, it must be cured or repurchased without testing.

Our review of the R&Ws focused on whether the representations made by the various originatorsand/or the sponsor, as applicable, were substantially consistent with the set of representationswe published as part of our criteria (see Appendix IV of "Methodology And Assumptions For RatingU.S. RMBS Issued 2009 And Later," published Feb. 22, 2018). In addition, our review of the R&Wframework accounts for automatic review triggers, knowledge qualifiers, "gap" periods, sunsetprovisions, and enforcement mechanisms. We evaluated the strength of the R&W framework andconsidered whether any breach could have a materially adverse impact on the interests of thetransaction's security holders. If the R&Ws and framework do not address the issues in ourpublished R&W framework, we will determine whether we believe it is appropriate to assessadditional credit enhancement. Lastly, we considered the R&W providers' ability to fulfill theirobligations in the event of a breach.

The R&Ws are generally consistent with our published criteria (see "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018) and willremain in effect for the transaction's life. However, given that the statute of limitations under NewYork law for R&W claims is generally expected to be six years from the date a representation ismade, there is effectively an expiration date on the R&Ws. In addition, the EPD covenant (althoughsimilar to other non-QM transactions) is weaker than the standard described in our criteria, whichcalls for the originator to repurchase a mortgage loan when the borrower fails to make any of thefirst three monthly payments due unless it concludes that the delinquency occurred because of aservicing issue that has subsequently been corrected.

The originator or the sponsor, as applicable, must appropriately remedy any ensuing R&W breachif it has a materially adverse impact on the loan by curing the breach, repurchasing the mortgageloan at the repurchase price, or substituting for the mortgage loan, including paying any requiredsubstitution adjustment amount.

The enforcement mechanism for R&W breaches includes provisions for a breach review at theoption of the controlling holder either by a third-party due diligence firm or by the controlling



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holder itself for any loan that experiences a realized loss (other than any loans subject to lossesand an ATR claim). A review is mandatory only for an ATR-related realized loss. If the controllingholder declines to review a loan that sustained losses, or concludes upon review there was nobreach of R&W, noteholders constituting 25% or more of the outstanding note balance (reviewtriggering noteholders) may direct a review of such loans for breaches at their own expense.

Dispute resolutions are ultimately subject to arbitration proceedings, if necessary, to determine ifa breach has occurred. For disputes between the controlling holder and the sponsor or originator,as applicable, the originator or the sponsor will pay for the arbitration expenses and will bereimbursed from the trust assets (subject to the annual cap) only if the arbitrator determines thatno R&W breach has occurred. For disputes between the review triggering noteholders and theapplicable representation provider that are resolved by arbitration, the representation providerwill pay for the arbitration expenses and will be reimbursed from the trust assets (subject to theannual cap) if they win.

As the originators and/or the sponsor, as applicable, may have limited repurchasing ability, weapplied a 1.10x loss coverage adjustment to compensate for the risk associated with the financialcapacities of the originator, in addition to certain R&Ws having knowledge qualifiers. We believethis adjustment is appropriate in the context of the due diligence performed on the loans and thecollateral's credit quality.

Cash Flow And Scenario Analysis

We reviewed the transaction structure and performed a cash flow analysis to simulate variousrating stress scenarios to determine the ratings for each class, consistent with our criteria, andaccount for the available credit enhancement (see table 12). We analyzed various scenarios foreach rating category or level, including combinations of:

- Front- and back-loaded default timing curves,

- Two-year recovery lag assumptions,

- Fast and slow prepayment assumptions, and

- High, low, and forward interest rate curve assumptions.

Notwithstanding the use of excess interest as credit enhancement in the transaction structure,we applied our usual front- and back-loaded rather than bulleted (e.g., semiannual or annuallump sum) default timing curves in our analysis. This reflects our view of the potential volatility ofcash flows, given that the recently originated loans are aggregated by a reviewed aggregator,subject to third-party due diligence, and include structural considerations such as pro rataprincipal allocations among the class A-1, A-2, and A-3 notes and partial P&I advancing by therelated servicer.

Due to the limited P&I advance obligation, we did not apply our typical servicer stop advancestresses. Instead, we assumed that no P&I advances were being made in our cash flowprojections. This assumption results in no projected monthly cash flows on defaulted loans thathave not yet been liquidated (we assume a 24-month lag between default and liquidation). Ourcash flow projections consider this additional liquidity stress and the transaction's ability to makemonthly interest payments and, if necessary, deferred interest payments (interest carryforwardamounts) by the final maturity date on the rated classes.



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Table 12

Cash Flow Assumptions

Scenario

'AAA' 'AA' 'A' 'BBB' 'BB' 'B'

Recovery lag (mos.) 24 24 24 24 24 24

Prepayments (%)(i)

Low CPR 1 2 3 4 5 6

High CPR 20 20 20 20 20 20

Servicer stop advance (%) N/A N/A N/A N/A N/A N/A

Foreclosure frequency (%) 44.79 38.74 30.65 22.67 15.3 8.02

Loss severity (%) 52.58 47.5 37.85 32.42 27.78 23.69

Loss coverage (%) 23.55 18.4 11.6 7.35 4.25 1.90

(i)Using a standard prepayment convention. CPR--Conditional prepayment rate. N/A--Not applicable.

We applied the foreclosure frequencies, loss severities, and combinations of the stresses notedabove in our cash flow runs and observed some periodic missed interest due to the liquidity stressassociated with no advancing. To pass our applicable rating-specific stresses, the interestdeferrals (or interest carry-forward amounts) resulting from any missed interest payments on thesecurities have to be paid in full by the maturity date. All deferred interest was paid back withinterest under the applicable rating-specific stresses in our cash flow projections. The resultsshow that each rated class in the transaction is enhanced to a degree, consistent with theassigned preliminary ratings (see table 13).

Table 13

Structural Assessment

Class RatingInitial class

size (%)Initial credit

enhancement (%)Loss coverage

(%)Difference between credit enhancement

and loss coverage

A-1 AAA (sf) 70.45 29.55 23.55 6.00

A-2 AA (sf) 6.65 22.90 18.40 4.50

A-3 A (sf) 10.70 12.20 11.60 0.60

M-1 BBB (sf) 5.00 7.20 7.35 (0.15)

B-1 BB (sf) 3.50 3.70 4.25 (0.55)

B-2 B (sf) 2.35 1.35 1.90 (0.55)

B-3 NR 1.35 0.00 N/A N/A

NR--Not rated. N/A--Not applicable.

WAC deterioration stress

To address the potential for a pool's WAC to decline over time as higher coupon loans prepay ordefault, we stress the pool's projected cash flows by reducing the interest accrued on the assets.Where appropriate, we review the distribution of loan coupons in the pool, based on measuressuch as the standard deviation, interquartile range, and maximum and minimum ranges to assessthe pool's homogeneity with respect to loan coupons.



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Generally, the stress is based on the pool's WAC at the time of analysis versus 10 years later,based on an assumed reduction in pool balance of 10% per year applied to the loans with thehighest coupons. This WAC difference is the maximum WAC deterioration assumed for the pool.The stress applied starts at zero in the transaction's first month and increases linearly eachmonth to the maximum through year 10, at which point it remains constant at the maximumthrough the deal's remaining life. This stress is applied in all cash flow stress scenarios at allrating levels. For this mortgage pool we assumed a WAC deterioration of 0.97%.

Interest stresses

All of the notes with fixed coupons are subject to the net WAC rate cap, as is the case in most ofthe post-2009 transactions that are rated by S&P Global Ratings. If the net WAC rate decreasesbelow the cap, the interest due to the notes will decrease by a similar amount. We have generallyseen two forms of net WAC rate definitions in transactions that we have rated since 2009. In sometransactions, the net WAC rate is generally defined as the current net mortgage rate of theoutstanding loans in the previous period (minus servicing fees, trustee fees, etc.). In these cases,extraordinary expense payments will reduce the available distribution amount and cash flow tothe security holders, potentially limiting the cash available to pay interest or principal to thesubordinate tranches.

However, in this transaction, extraordinary trust expense payments reduce the net WAC rate,which effectively allocates the extraordinary trust expenses pro rata across all senior andsubordinate security holders by reducing their interest payments by the amount of theextraordinary trust expenses paid (subject to the annual cap). Although the extraordinaryexpenses are passed through as reduced contractual interest due to security holders, we ranthese expenses at their capped amounts to test any impact on the securities. We tested thisbecause the securities depend on excess spread as a form of credit enhancement due to thepresence of certain structural features such as limited P&I advancing, and because interestpayments on the securities are deferrable.

Imputed Promises Analysis

When rating U.S. RMBS transactions where credit-related events can reduce interest owed to thetranches across the capital structure rather than an allocation of such credit-related loss to theavailable credit support, we impute the interest owed to the security holders, based on our criteria"Principles For Rating Debt Issues Based On Imputed Promises," published Dec. 19, 2014, and theassociated guidance, "Guidance: Principles For Rating Debt Issues Based On Imputed Promises,"published July 26, 2019. WAC deterioration that occurs because of defaults, repurchases, orprepayments is not considered credit-related and is, therefore, not considered as part of thisanalysis.

Because this transaction provides for credit-related loan modifications and extraordinary trustexpenses to reduce the net WAC, at which the transaction's bond coupons are capped, we appliedthe approach outlined in the criteria to assess the maximum potential rating (MPR) that couldapply based on our projected interest reduction amount (PIRA). Because this is a new issuetransaction, we did not account for any cumulative interest reduction amount.

Consistent with our criteria, we assumed that 50% of the loans projected to default would bemodified, which, when added to the extraordinary trust expenses, resulted in a maximum PIRA onthe rated notes that is significantly below the 4.5% threshold. We stressed the extraordinary trustexpenses by the relevant extraordinary expense application factor for 48 months from periods 13



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and 60. Based on the results of our analysis, there was no impact on the MPR on the securities.

Historically, we observed that extraordinary trust expenses have been both minimal when theyoccur and extremely limited in pre-2009 RMBS transactions. We continue to expect their actualoccurrence in post-2009 transactions to be rare.

Operational risk assessment

Our criteria ("Global Framework For Assessing Operational Risk In Structured FinanceTransactions," published Oct. 9, 2014) present our methodology and assumptions for assessingcertain operational risks (severity, portability, and disruption risks) associated with asset typesand key transaction parties (KTPs) that provide an essential service to a structured finance issuer.According to the criteria, we cap the ratings on a transaction if we believe operational risk couldlead to credit instability and affect the ratings.

As provided in the operational risk criteria, for severity risk and portability risk, there are threepossible rankings: high, moderate, or low. For disruption risk, there are four possible rankings:very high, high, moderate, or low. The rankings for each of the three risks determine the maximumpotential rating that can be assigned to a structured finance security for a given KTP before givingconsideration to any provisions for a backup KTP, such as a master servicer.

According to our criteria, we rank severity and portability risk for nonprime residential mortgagecollateral as moderate and low, respectively. For this transaction, the master servicer, NationstarMortgage LLC, is the KTP. We consider the disruption risk for Nationstar Mortgage LLC as low.Given these risk assessments, our criteria does not cap the ratings on the transaction.

Related Criteria

- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates InStructured Finance, Oct. 18, 2019

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation AndSpecial-Purpose Entity Criteria, May 15, 2019

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- Criteria | Structured Finance | RMBS: U.S. Residential Mortgage Operational AssessmentRanking Criteria, Feb. 22, 2018

- Criteria - Structured Finance - RMBS: Assumptions Supplement For Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018

- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Rating U.S. RMBSIssued 2009 And Later, Feb. 22, 2018

- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017

- Criteria | Structured Finance | General: Structured Finance Temporary Interest ShortfallMethodology, Dec. 15, 2015

- Criteria | Structured Finance | General: Methodology: Criteria For Global Structured FinanceTransactions Subject To A Change In Payment Priorities Or Sale Of Collateral Upon ANonmonetary EOD, March 2, 2015

- General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014



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- Criteria - Structured Finance - General: Global Framework For Cash Flow Analysis OfStructured Finance Securities, Oct. 9, 2014

- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, AndIndemnifications, July 12, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

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In addition to the criteria specific to this type of security (listed above), the following criteriaarticles, which are generally applicable to all ratings, may have affected this rating action:AcceptAllChangesInDocAndStopTracking "Counterparty Risk Framework: Methodology AndAssumptions"," March 8, 2019; "Post-Default Ratings Methodology: When Does Standard & Poor'sRaise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing OperationalRisk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments:Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; "Criteria For Assigning'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Methodology: Credit Stability Criteria," May3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, 2009.



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CSMC 2019-NQM1 Trust

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