NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to twenty classes of mortgage pass-through certificates from Agate Bay Mortgage Trust 2016-3 (ABMT 2016-3), a prime jumbo RMBS transaction.
The ABMT 2016-3 mortgage pool is composed of 518 first-lien mortgage loans with an aggregate principal balance of $380,666,892 as of the cut-off date. The pool consists entirely of fully-amortizing, fixed-rate mortgages (FRMs), all of which have 30-year maturities. The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 68.8% and WA original CLTV of 69.0%. The weighted average original credit score is 772, which is within the prime mortgage range.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss Model, an examination of the results from third-party loan file due diligence, cash flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. KBRA also considered the fact that the sponsor, TH TRS Corp., will discontinue its conduit mortgage aggregation and securitization activities. KBRA has confirmed with the sponsor’s parent company, Two Harbors Investment Corp., that the sponsor expects to continue to operate as a capitalized entity in an amount they believe will be sufficient to meet all existing obligations, including various representation and warranty obligations. This analysis is further described in our U.S. RMBS Rating Methodology.
For complete details on the analysis, please see our Pre-Sale Report, Agate Bay Mortgage Trust 2016-3, which was published on August 3, 2016 on www.kbra.com.
To view the report please click here.
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).