CSMC 2022-NQM6 Trust ABS-15G

Exhibit 99.1

CSMC 2022-NQM6

Due Diligence Review

Narrative Summary

December 7, 2022

Prepared by

Mission Global, LLC

For

DLJ Mortgage Capital, Inc.

This report is prepared by Mission Global, LLC ("Mission") and summarizes the results of a due diligence review performed on a pool of two hundred sixty-two (262) residential mortgage loans. Mission was engaged by Residential Real Estate Review, Inc. (“RRR”) on behalf of Credit Suisse Securities (USA) LLC and DLJ Mortgage Capital, Inc., to perform due diligence services on the pool. RRR provided Mission Global, LLC ("Mission") with a data tape, from which 100% of the loan sample was selected and loan data was entered into and analyzed using the Mission Global Grade® Underwriting and Diligence grading solution. Mission performed a detailed credit re-underwrite and regulatory compliance review of 100% loans. Mission performed the review beginning on May 15, 2022 and completed the review on November 30, 2022.

Mission Global is a technology-forward service provider built on a culture of deep client service. Mission is a rating agency approved Third Party Review firm delivering underwriting and compliance audits for residential and business purpose loans. Since 1994, Mission Global and its predecessor company, Global Financial Review have provided comprehensive loan due diligence, re-underwriting, and asset management services to clients in the financial services industry.  In 2015, Global Financial Review merged with the leading Secondary market consulting firm Mission Capital Advisors, LLC to form Mission Global, LLC. In 2020, Mission Capital Advisors, LLC and Mission Global, LLC were acquired by the leading real estate sales, financing and advisory service firm and now a wholly-owned subsidiary of Marcus & Millichap (NYSE:MMI).

Mission performed a full credit re-underwrite, regulatory compliance, valuation and data integrity review to meet the criteria as published by the Nationally Recognized Statistical Rating Organizations. This deal is to be rated in accordance with the published guidelines of Standard & Poor’s Global Ratings (S&P Ratings).

Of the 262 loans reviewed, two hundred one (201) of the loans are considered Non-QM qualified, non-conventional or commonly referred to as non-agency residential mortgage loans. The remainder of the sixty-one (61) loans are investment or business purpose loans and are considered ATR/QM Exempt. The loan pool is a mix of loan occupancies including primary residences, secondary residences or investment purpose loans secured by residential single family or one-to-four family multi-family property as collateral.

The loans were originated by Athas Capital group directly or through a correspondent lender. A full re-underwriting credit review was conducted to verify that the requisite underwriting guidelines as specified by loan program were met. Confirmation of the loan terms was conducted through recalculation and review of documentation contained in the loan files and documents provided to Mission.

The Credit Qualification review will consist of the following:

Mission reviewed each loan each mortgage loan to ensure it met the requisite guideline requirements as specified by the Client guidelines. In lieu of specific requirements, Mission also considered Regulation Z requirements including Appendix Q where applicable.

In addition to the guidelines there were three unique overlays for each type of loan program reviewed:

Athas Consumer Purpose Express

Athas Business Purpose DSCR Rate - Investment Only

Athas Business Purpose No DSCR Rate - Investment Only

These guideline overlays provided additional specific qualification requirements and program specific metric such as min and max loan amounts, cash out refinance limits, ranges of values for acceptance, geographic eligibility, escrow requirements, note, rate and term specific details, qualifying property types, residency requirements, limits on seller and third-party contributions, valuation and title requirements The guidelines and overlays also specified borrower requirements such as credit tradeline and credit event requirements, income and asset qualifications, and citizenship requirements.

These were non-QM qualified loans with a variety of ways that Borrower income could be verified including stated and verified 12/24 month bank statement verification, WVOE verification of employment. Loans were also underwritten to Full documentation requirements with traditional full documentation including w-2, paystubs and other employment documentation. In the case of investment purposes loans DSCR ratios were used to qualify the loans. In these cases, rental property income was both estimated or stated,

and/or verified through leases and rent rolls. Mission verified the file documentation for minimum required level of employment and income verifications in accordance with Client provided underwriting guidelines.

Mission recalculates borrower(s) monthly gross income and verified calculations of income as used by the original loan underwriter at origination to determine compliance with the Client provided underwriting guidelines. In all cases, Mission verified stated/verified income in accordance with Client provided underwriting guidelines.

Mission confirmed the presence of adequate asset documentation to comply with the Client provided underwriting guideline requirements for closing funds, reserves and borrower liquidity. Mission verified the file documentation for minimum required level of asset verification in accordance with Client provided underwriting guidelines.

On all primary or secondary residential loans other than the Asset Depletion loans, Mission recalculated and verified the debt-to-income ratio used by the loan underwriter at origination to determine compliance with Client provided underwriting guidelines and requirements. On the Asset depletion loans there was insufficient income information to calculate at DTI ratio.

On all investment related loans that were qualified under the DSCR Rate programs, Mission recalculated and verified the Debt Service Coverage Ratio used by the loan underwriter at origination to determine compliance with Client provided underwriting guidelines and requirements. Rental income used in the calculation for each loan was either verified from an in-place lease and verification of payment or based upon projected market rents taken from the 1007 in the subject property appraisal. The lower of actual or projected market rents is used in the DSCR calculation.

Mission analyzed all appraisals and secondary value tools used to qualify the loan for integrity of comparable sales, completeness of data, eligibility of the appraiser and reasonableness of estimated value. In all cases an AVM was used to validate original value. If the representative value tolerance was 10% or greater another secondary valuation product was utilized to establish value used for LTV. Mission verified the valuation waterfall in each case to determine if based upon AVM values whether a Desk review or a second appraisal was required and to verify all valuation documentation met the requirements of Client provided underwriting guidelines.

Mission recalculated based upon valuation waterfall and verified the recalculated loan-to-value ratio and combined loan-to-value ratio were accurate both at origination and subsequent to the review and met Client provided underwriting guideline and regulatory requirements.

Mission reviewed the initial credit reports used at origination and captured updated gap report values to verify that the borrower(s) demonstrate adequate credit depth to comply with the Client provided underwriting guideline requirements.

Mission captured FICO scores from credit reports used at origination and any updated gap report values to validate that borrower(s) met minimum credit score requirements of the Client provided underwriting guidelines.

Mission reviewed all provided guideline exceptions and verified exceptions to the Client provided underwriting guidelines were documented and that compensating factors were reasonable.

Mission’s review each loan file confirmed the presence of material documentation as applicable to the specifics of the loan transaction.

Mission verified the presence of at a minimum the initial title commitment or final title policy. Mission confirmed the vested parties and the description of the property, liens and tax assessments. Given the recent origination of many of the loans contained only an initial title commitment. Comments on loans where the final title policy was still pending were noted in the resolution of each loan in the grading findings.

Verify the presence of the mortgage note or security instrument. Confirm that the document has been executed by all borrowers and that all riders, addendums and endorsement were present and duly executed. Mission confirmed that Mortgage note was either fixed or adjustable according to requirements of the Client provided underwriting guidelines and captured relevant Note data specific to each loan.

Mission verified the presence of a copy Mortgage or Deed of Trust and confirmed that

the documents were executed by all required parties and that all riders, addendums and exhibits as required exist in the loan file. Mission also verified that the Mortgage was recorded or sent for recording. Given the recent origination of many of the loans contained only an executed Mortgage not a recorded document. Comments on loans where recorded Mortgage was still pending were noted in the resolution of each loan in the grading findings.

Mission verified the presence of income and employment related documentation as required by the Client provided underwriting guidelines for all borrowing parties contributing income to the debt ratio calculation.

Mission verified the presence of asset documentation required by the Client provided underwriting guidelines in the loan file.

Mission verified the presence of insurance policies and certificates for mortgage, hazard and flood insurance on each loan depending upon the specifics of the loan. Mission confirmed that adequate coverage is present to meet the requirements of the Client provided underwriting guidelines.

For each primary or secondary home mortgage loan file Mission conducted a post-closing regulatory compliance review to verify that each loan was originated in compliance with the applicable federal, state and local anti-predatory lending statutes in effect at the time of origination of the Mortgage Loan. Mission further validated that the loans met the applicable disclosure requirements provided under (i) the federal Truth in Lending Act ("TILA"), as implemented by Regulation Z, 12 C.F.R. Part 1026; (ii) Section 4 of the Real Estate Settlement Procedures Act ("RESPA"), as implemented by Regulation X, 24 C.F.R. Part 3500; (iii) the National Flood Insurance Act, (iv) the disclosure requirements and prohibitions of Section 50(a)(6), Article XVI of the Texas Constitution and associated regulations; and (v) the disclosure requirements and prohibitions of the applicable state, county and municipal laws and ordinances enacted to combat predatory lending, as was applicable depending upon the specifics of the loan.

A review of the material compliance disclosures set forth in Reg Z, as amended, including the Truth in Lending Disclosure and the Notice of Right-to-Cancel, if applicable; and a review and comparison of the material disclosures with a report outlining any TILA violations. This includes a re-calculation of disclosed finance charge [§1026.18(d)], proper execution by all required parties [§1026.17(b)], principal and interest calculations [§1026.18(s)], payment stream(s), recalculation of disclosed APR [§1026.22], and a review to ensure disclosure differences are within the allowed tolerances [§1026.18(d) and §1026.23(g)]. A review of the Notice of Right to Cancel (§1026.15 I §1026.23):

Review includes a verification of the transaction date and expiration date, ensures proper execution of the Notice of Right to Cancel by all required parties verifies the disbursement date and determines if a full 3 day rescission period was adequately provided to the borrower(s).

General business day is defined as the days on which a creditor's offices are open to the public for carrying on substantially all of its business functions excluding Sundays and holidays specified by §1026.2(a)(6). Specific business day is defined as all calendar days (Monday through Saturday) excluding Sundays and holidays specified by 5 U.S.C. 6103(a)

Review of HOEPA disclosure (§1026.32(c)) for accuracy (i.e. payment stream, highest payment scenario; dates disclosed, dates acknowledged) 

HOEPA (Section 32) loan coverage has been expanded to include purchase-money mortgages and open-end credit plans (i.e., home equity lines of credit or HELOCS), as well as the amendment of rate and points and fees threshold testing. Mission system requirements have been updated to address the expansion of coverage as well as amendments to threshold testing. In addition, there is a homeownership counseling requirement that was verified for all covered loans.

Each investment purpose loan was reviewed by Mission to ensure compliance with the most current amendments to Regulation X. The RESPA/Regulation X review consisted of the following:

Mission confirmed compliance with current RESPA requirements in effect at origination of the Mortgage Loan including confirming the presence of the current GFE form in effect at the time of origination and verification the GFE was provided to the borrower(s) within three days of "Application".

Application was defined by Regulation X and generally considered complete when the creditor collected information regarding the following: 

Mission verified that all Broker fees, including Yield Spread Premium ("YSP") were accurately disclosed and reflected in the appropriate locations.

Fees were reviewed to ensure they are reasonable and customary fees for the lender and title and escrow companies and that those fees were accurately disclosed on the GFE and were reflected in the proper location on the document.

Mission reviewed all available documentation to determine whether a Change of Circumstance (COC) form was required to accompany each revised Good Faith Estimate (GFE).

Mission confirmed compliance with current RESPA requirements in effect at origination of the Mortgage Loan including the presence of the current applicable Final HUD-1 form and that the Final HUD-1 accurately lists all broker and YSP fees.

Mission confirmed compliance with current RESPA requirements in effect at origination of the Mortgage Loan.

This analysis included the following:

The loans reviewed in this pool were all non-QM loans at origination so were not subject to QM Points and fees testing. Mission did verify that underwriter confirmed ATR's eight verification steps for any origination. Mission verified documentation sufficient to run ATR checks on all loans to meet ATR requirements. 

All the verifications were made and each of the eight topic areas were confirmed to agree with the representations made by the lender, and there were no credit exceptions to the lender's guidelines, the loan passed the ATR test. If any of the conditions fail or the loan lacked sufficient documentation to support the stated values in any of the areas, affected items will not be considered verified and the loan was failed for the ATR test. In all cases the loans reviewed by Mission in this pool were reported as ATR-Pass, and ATR-Exempt.

Note regarding Asset Depletion Loans- A number of the loans reviewed were asset depletion loans that meet the ATR requirements of Dodd-Frank, as implemented by Regulation Z. There was some concern regarding whether the loans originated under the “assets” program would satisfy these ATR requirements as no specific borrower income was reviewed to determine whether the income requirements were truly met to mee the standard required for ATR compliance.

The client provided an opinion letter related to the matter. That letter noted “neither the Dodd Frank Act, Regulation Z nor the Consumer Financial Protection Bureau’s (“CFPB”) Official Staff Commentary to Regulation Z (the “Commentary”) provides definitive guidance for how a creditor must consider these factors in attempting to meet the ATR requirements. In fact, the Commentary indicates that as long as the creditor considers the eight ATR factors:

“creditors are permitted to develop their own underwriting standards and make changes to those standards over time and in response to empirical information and changing economical and other conditions. Whether a particular ability-to-repay determination is reasonable and in good faith will depend not only on the underwriting standards adopted by

the creditor, but on the facts and circumstances of an individual extension of credit and how a creditor’s underwriting standards were applied to those facts and circumstances.”

According to the underwriting guidelines for the asset depletion program, applicants must meet a minimum reserve requirement of 24/36 months of future housing payment (“PITIA”) on the subject loan and any simultaneous loans being made to purchase or finance the subject property or another property that is in process. All of the loans reviewed had assets equal to or substantially higher than the program requirement.

Notably, however, under these guidelines, while the lender apparently does not calculate the applicant’s monthly DTI or residual income, which is one of the eight ATR factors required to meet ATR compliance, it does require substantial asset reserves in lieu of income verification and it considers the other seven ATR elements in determining the consumer’s ability to repay the loan.

The asset depletion program is a niche program that is made available only to highly qualified applicants. A touchstone of the regulations implementing the Dodd-Frank Act is the leeway accorded creditors in developing their own underwriting standards.

Notwithstanding the risk associated with non-ATR compliance, we deemed the loans originated under this asset qualification program generally meet the requirements and are therefore ATR compliant. 

Mission confirmed in all cases that the loans contained in this pool were non-Qualified Mortgages and therefore classified as Non-QM in the reports. The following was verified as well: 

The debt-to-income threshold of 43.00% applies only to any QM loan. Mission verified these were non-QM loans and therefore exempt from QM DTI testing. However, Mission did calculate DTI and verify to comply with the Client provided underwriting guideline requirements or apportion of the loans.

Mission verified these were non-QM loans and therefore exempt from HPML Testing- QM APR testing.

Mission verified the required escrow accounts to be in place for the first five years of the transaction.

Mission used following criteria was used in determining whether TRID applies:

The Application Date is October 3, 2015, or later (the earlier of the date the broker or lender received the borrower's application).

For those loans where the Purpose and Property Type included a closed-end mortgage secured by real estate and primary purpose was to occupy or hold as a second home(Purchase or Refinance).

The loan Purpose and Property Type does not include:

Mission applied the standard exemptions from TILA, i.e., business purposes loans, loans for agricultural purposes and loans secured by five (5) or more units.

Mission verified of compliance with timing requirements as to whether the Initial LE was delivered within three (3) business days from the Application Date. The Initial LE shall use the delivery date to calculate the earliest closing Consummation Date (no less than seven (7) business days from the delivery of the Initial LE). The delivery date is the date the creditor hand delivers the disclosures or places the disclosures in the mail, 1026.19(e)(l).

Mission verified any revision to the Initial LE and validated that the Revised LE was provided within three (3) days of COC, BRC or interest rate lock. Mission validated as necessary for sufficient information to establish one of the six (6) valid reasons to reset tolerance fees set forth in TRID:

Mission also validated that settlement charges good through date, time and time zone were properly disclosed with minimum of ten (10) days during which borrower is permitted to shop knowing fees are locked during that timeframe.

Mission analyzed each LE in file to determine final Binding LE. If there is a change in loan terms, change in interest rate or increase in charges subject to variances without valid reason for a Revised LE as set forth above, findings were cited. If the Revised LE was issued without a valid reason, the previous valid LE was considered the Binding LE for the purposes of comparison with the Closing Disclosure. Mission verified compliance with timing requirements to ensure there were no loan estimates provided to the borrower after a Closing Disclosure had been delivered, and whether the Final LE was provided at least four (4) business days prior to the closing Consummation Date.

If the LE did not contain a signature line for the consumer's confirmation of receipt, then Mission verified electronic delivery of documents provided to borrower.

Mission analyzed each Closing Disclosure in the file all sections of Closing Disclosures were completed (no blanks, ''NA's" or incomplete sections) and the Disclosure is accurate as follows: 

Mission verified that if the lender placed fees in the Services You Can Shop For category, that the file properly contained a Written List of Providers provided to the borrower within three (3) business days of application. The WLSP must have included at least one available provider for each service and state the consumer may choose a different provider for that service. If a WLSP was not provided, the fees will be treated as a 10% Tolerance fee and a finding for missing service provider list will be noted. If a WLSP is provided outside of three (3) days of the application date, the fees will be treated as a 10% Tolerance fee and a finding for a service provider list being provided outside of three (3) days from application will be noted.

Mission deploys in its testing one or the other of the following Variance Categories in performing variance tests:

Such increases include: 

Such increases include: 

Mission conducted a full Closing Disclosure review and verified the following:

Mission verified the method of receipt of the revised LE and CD and performed a compliance test with timing requirements. For purposes of the review and verification, the date the borrower is deemed to have received the disclosure(s) is based on any of the following methods: 

There were loans in the pool reviewed by Mission that contained findings related to issues that could only be cured by issuance of a Post-close Closing Disclosure. The following prescribed cures as set forth in section 1026.19 (t)(2)(iii) through (v) that are acceptable for changes and corrections to the Final CD after consummation.

Mission confirmed compliance with current documentation and timing requirements in effect at origination of the Mortgage Loan including:

In addition to federal thresholds, Mission reviewed the anti-predatory lending statutes in the following states and local municipalities, as applicable:

Please be advised that Mission did not make a determination as to whether loans complied with federal, state or local laws, constitutional provisions, regulations or ordinances that are not expressly enumerated herein. There can be no assurance that the review uncovered all issues relating to the origination of the mortgage loans, their compliance with applicable law and regulation and the original appraisals relating of the mortgaged properties or uncovered all relevant factors that could affect the future performance of the mortgage loans. Furthermore, the findings reached by Mission are dependent upon its receiving complete and accurate data regarding the mortgage loans from loans originators and other third parties upon which Mission is relying in reaching such findings.

Please be further advised that Mission does not employ personnel who are licensed to practice law in various jurisdictions, and the findings set forth in the reports prepared by Mission do not constitute legal advice or opinions. They are recommendations or conclusions based on information provided to Mission. All final decisions as to whether to purchase or enter into a transaction related to any individual mortgage loan or the mortgage loans in the aggregate, any investment strategy and any legal conclusions, including potential liability related to the purchase or other transaction involving any such loans, shall be made solely by the Client, or other agreed upon party, that has engaged Mission to prepare its reports pursuant to its instructions and guidelines. Client, or other agreed upon party, acknowledges and agrees that the scoring models applied by Mission are designed to identify potential risk and the Client, or other agreed upon party, assumes sole responsibility for determining the suitability of the information for its particular use.

Mission verified that fraud reports were present on all loans and independent third-party property valuations reports are in the file.

Mission validated the presence of a Fraud Guard report on each loan to identify potential misrepresentations of income, employment, identity, occupancy, transaction and appraisal misrepresentation or other areas of potential misrepresentation.

Mission validated credit report alerts for accuracy and potential issues.

Mission verified SSN(s) across all file documents.

Mission validated to the extent possible for apparent alterations to loan documents.

Mission validated the documents contained in the loan file for consistency of data.

To the extent a third-party Fraud Guard was present in the loan file, Mission reviewed high level or critical warnings were reviewed and addressed.

Mission was provided with a Client bid tape to conduct a Data Integrity Review. The Client provided a data tape with the following data fields and Mission compared the field to the applicable source document and reported all variances.

The following fields were provided and compared:

Pursuant to the applicable NRSRO criteria, Mission graded each loan exception with an event level 1 for exceptions findings that are informational in nature, event level 2 for exceptions findings that are considered non-material, event level 3 for exceptions findings that are considered material. In accordance applicable NRSRO criteria exceptions and overall initial loan grades and final loan Grades were assigned with an A, B, C or D. The methodology for the application of RMBS grading is defined by each NRSRO in their current industry publications as updated from time to time.

Pursuant to the applicable NRSRO criteria, Mission graded certain compliance exceptions as nonmaterial based on seasoning of the mortgage loan. Where applicable, mortgage loans that are seasoned beyond the applicable period under TILA in which affirmative claims could be brought by a consumer. The period is not limited for claims, other than recission, which are raised as a defense to foreclosure. Information contained in any Mission reports related to the applicable statute of limitations for certain claims may not be accurate or reflect the most recent controlling case law. Further, a particular court in a particular jurisdiction may extend, not enforce or otherwise allow claims beyond the statute of limitations identified in the report based on certain factors, including the facts and circumstances of an individual loan.

S&P RATINGS GRADING METHODOLOGY

DATA INTEGRITY REVIEW

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