NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 28 classes of mortgage pass-through certificates from Flagstar Mortgage Trust 2018-2 (FSMT 2018-2), a prime RMBS transaction with both non-agency jumbo (57.2%) and high-balance conforming (42.8%) mortgage loans.
The FSMT 2018-2 pool comprises 1,097 first-lien, prime residential mortgage loans with an aggregate principal balance of $704,069,156 as of the cut-off date. The collateral consists entirely of fully-amortizing, fixed rate mortgages (FRMs), most of which possess a 30-year (99.9%) maturity term. The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 64.9% and WA original CLTV of 65.6%. The weighted average original credit score is 762, which is well within the prime mortgage range.
Notably, the FSMT 2018-2 transaction employed due diligence sampling on a portion of the underlying collateral, with full-scope due diligence (credit, compliance, valuation and data verification) on 20.0% of the pool (by loan count), while the remaining 80.0% of the loans sis not receive any third-party review. FSMT 2018-2 represents the second FSMT deal and, to KBRA’s knowledge, the second post-crisis RMBS 2.0 transaction to employ this level of sampling for non-agency loans.
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, Flagstar Mortgage Trust 2018-2 Representations and Warranties Disclosure.
Related Publications: (available at www.kbra.com)
- Flagstar Mortgage Trust 2018-2 Pre-Sale Report
- Flagstar Mortgage Trust 2018-2 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.