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KBRA Assigns Preliminary Ratings to Starwood Mortgage Residential Trust 2018-IMC2 (STAR 2018-IMC2)

November 20, 2018

NEW YORK--(BUSINESS WIRE)--Nov 20, 2018--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 .

Related Publications: (available at )

STAR 2018-IMC2 Trust Tear Sheet

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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.

View source version on businesswire.com:https://www.businesswire.com/news/home/20181120005781/en/

CONTACT: Analysts:Gary Narvaez, Director

(646) 731-2478

gnarvaez@kbra.comSharif Mahdavian, Senior Director

(646) 731-2301

smahdavian@kbra.comKristymarie Cariello, Director

(646) 731-2494

kcariello@kbra.comJack Kahan, Managing Director

(646) 731-2486

jkahan@kbra.com

KEYWORD: UNITED STATES NORTH AMERICA NEW YORK

INDUSTRY KEYWORD: PROFESSIONAL SERVICES BANKING FINANCE

SOURCE: Kroll Bond Rating Agency

Copyright Business Wire 2018.

PUB: 11/20/2018 05:35 PM/DISC: 11/20/2018 05:35 PM

http://www.businesswire.com/news/home/20181120005781/en

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