KBRA Assigns Ratings to PSMC 2020-2 Trust

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns ratings to 42 classes of mortgage pass-through certificates from PSMC 2020-2 Trust (PSMC 2020-2), a prime jumbo RMBS transaction jointly sponsored by subsidiaries of American International Group, Inc. (AIG).

The PSMC 2020-2 pool comprises 586 first-lien, prime residential mortgage loans with an aggregate principal balance of $423,822,008 as of the cut-off date. The collateral consists of primarily 30-year fully amortizing, fixed-rate mortgages (FRMs). The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 69.6% and WA original CLTV of 69.7%. The weighted average original credit score is 777, 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.

Click here to view the report. To access ratings and relevant documents, click here.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA.

Contacts

Analytical

Armine Karajyan, Director (Lead Analyst)
+1 (646) 731-1210
akarajyan@kbra.com

Hannah Brennan, Analyst
+1 (646) 731-3324
hbrennan@kbra.com

Thomas Reilly, Analyst
+1 (646) 731-2317
treilly@kbra.com

Patrick Gervais, Managing Director (Rating Committee Chair)
+1 (646) 731-2426
pgervais@kbra.com

Business Development

Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com

Contacts

Analytical

Armine Karajyan, Director (Lead Analyst)
+1 (646) 731-1210
akarajyan@kbra.com

Hannah Brennan, Analyst
+1 (646) 731-3324
hbrennan@kbra.com

Thomas Reilly, Analyst
+1 (646) 731-2317
treilly@kbra.com

Patrick Gervais, Managing Director (Rating Committee Chair)
+1 (646) 731-2426
pgervais@kbra.com

Business Development

Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com