KBRA Assigns Preliminary Ratings to Galton Funding Mortgage Trust 2018-2 (GFMT 2018-2)

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 50 classes of mortgage pass-through certificates from Galton Funding Mortgage Trust 2018-2 (GFMT 2018-2).

Galton Funding Mortgage Trust 2018-2 is issued by the Sponsor (Galton Mortgage Acquisition Platform 1 Sponsor LLC) that contains both qualified mortgages (QM) and Non-qualified (Non-QM) mortgages as well as loans secured by investor properties. The collateral pool also contains a significant concentration of collateral that KBRA considers to be “expanded prime” as such loans (i) are not applicable for or do not meet the definition of QM and/or (ii) possess one or more collateral attributes that represent an expansion of the credit parameters used to originate ‘super-prime’ loans. The expanded credit factors can include loans with credit scores as low as 660, DTI ratios as high as 50 or more, LTVs above 80-85%, and non-traditional income qualification such as asset depletion. Furthermore, this transaction also contains a smaller subset of loans which KBRA generally considers to be non-prime due to certain loan or borrower characteristics which include borrowers with blemished credit history and the use of bank statements to document income.

The GFMT 2018-2 mortgage pool comprises 583 first-lien mortgage loans with an aggregate principal balance of $452,664,294, as of the cut-off date. The underlying collateral consists primarily of fixed-rate mortgages (87.6%), with the remainder of loans possessing adjustable rate terms (12.4%). The majority of the fixed-rate mortgages are fully amortizing (70.9%), while the collateral contains loans that possess a 10-year interest-only term, with the majority containing a 30-year amortization upon recast (26.1%). Additionally, 28.5% of the pool was originated as investment properties and a small percentage of loans were underwritten using non-traditional documentation, such as asset qualification (0.9%), or alternative documentation such as the use of 12 (0.5%) or 24 (1.9%) months of bank statements.

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.

For complete details on the analysis, please see our pre-sale report, Galton Funding Mortgage Trust 2018-2, which was published on October 15, 2018 on www.kbra.com. A tear sheet summarizing certain items of the transaction can be found here.

To access the ratings, pre-sale report and disclosures, click here.

Related Publications: (available at www.kbra.com)

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is 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.

Contacts

Analytical:
Kroll Bond Rating Agency
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com
or
Kristymarie Cariello, 646-731-2494
Director
kcariello@kbra.com
or
Sharif Mahdavian, 646-731-2301
Senior Director
smahdavian@kbra.com
or
Prabhjot Singh, 646-731-3337
Analyst
psingh@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com
or
Kristymarie Cariello, 646-731-2494
Director
kcariello@kbra.com
or
Sharif Mahdavian, 646-731-2301
Senior Director
smahdavian@kbra.com
or
Prabhjot Singh, 646-731-3337
Analyst
psingh@kbra.com