NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of mortgage pass-through certificates from Starwood’s second non-prime RMBS securitization, Starwood Mortgage Residential Trust 2018-IMC2 (STAR 2018-IMC2).
STAR 2018-IMC2 is a residential mortgage-backed securities (RMBS) transaction issued by the Sponsor (Starwood Non-Agency Lending, LLC), a division of Starwood Capital Group (SCG). The $279.9 million transaction is collateralized by a pool of 728 mortgages, which are mostly classified as non-prime as the collateral pool contains borrowers with prior credit events (9.2%), loans using alternative or atypical income documentation sources such as bank statements (55.1%), asset qualification (1.8%) and investor cash flow/business-purpose loans (37.6%). In addition, this transaction contains smaller subsets of loans which KBRA generally considers to be expanded prime due to certain loan or borrower characteristics, such as loans that would typically require exceptions to prime/super-prime guidelines with compensating factors. Of the loans subject to the Ability-to-Repay (ATR) rule, all are classified as Non-QM (52.8%), and the rest are exempt from the ATR rule (47.2%) as the loans were originated for investment properties.
The underlying collateral consists of hybrid adjustable rate mortgages (54.0%) and fully-amortizing fixed-rate loans (46.0%), including interest only loans (13.4%) with five-year (11.2%) and seven-year (2.2%) interest only periods. Loans in the pool exhibit substantial borrower equity, as evidenced by the WA original LTV of 65.1% and CLTV of 64.9%. The pool has a WA original credit score of 724, and a WA loan age of 5 months.
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.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- STAR 2018-IMC2 Trust Pre-Sale Report
- STAR 2018-IMC2 Trust Pre-Sale ReportSTAR 2018-IMC2 Trust Tear Sheet
- RMBS: KBRA RMBS KCAT
- 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
- Credit Evolution – Non-Prime Isn’t Yesterday’s Subprime
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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.
