NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 34 classes of mortgage pass-through certificates from PSMC 2018-1 Trust (PSMC 2018-1), a prime jumbo RMBS transaction jointly sponsored by subsidiaries of American International Group, Inc. (AIG).
The PSMC 2018-1 pool comprises 726 first-lien, prime residential mortgage loans with an aggregate principal balance of $446,170,134 as of the cut-off date. The collateral consists entirely of fully-amortizing, 30-year fixed rate mortgages (FRMs). The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 73.4% and WA original CLTV of 73.5%. The weighted average original credit score is 774, which is well 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. This analysis is further described in our U.S. RMBS Rating Methodology.
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled, PSMC 2018-1 Trust Representations and Warranties Disclosure.
Related Publications: (available at www.kbra.com)
- PSMC 2018-1 Trust Pre-Sale Report
- PSMC 2018-1 Trust Tear Sheet
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- KBRA Expects TRID to Have Limited Impact on RMBS Enhancement Levels
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KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.