NEW YORK--(BUSINESS WIRE)--Jun 14, 2018--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 16 classes of mortgage pass-through certificates from Flagstar Mortgage Trust 2018-4 (FSMT 2018-4), a prime RMBS transaction with both non-agency jumbo (47.7%) and high-balance conforming (52.3%) mortgage loans.

The FSMT 2018-4 pool comprises 750 first-lien, prime residential mortgage loans with an aggregate principal balance of $ $466,934,643 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 67.0% and WA original CLTV of 68.3%. The weighted average original credit score is 762, which is well within the prime mortgage range.

Notably, the FSMT 2018-4 transaction employed due diligence sampling on a portion of the underlying collateral, with full-scope due diligence (credit, compliance, valuation and data verification) on 30.0% of the pool (by loan count), while the remaining 70.0% of the loans did not receive any third-party review. FSMT 2018-4 represents the third 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.

For complete details on the analysis, please see our pre-sale report, , which was published on June 14, 2018 on .

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, .

Related Publications: (available at )

U.S. RMBS Rating Methodology

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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 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.

View source version on businesswire.com:https://www.businesswire.com/news/home/20180614006144/en/

CONTACT: Kroll Bond Rating Agency

Analytical:

Kristymarie Cariello, 646-731-2494

Director

kcariello@kbra.com

or

Jack Kahan, 646-731-2486

Managing Director

jkahan@kbra.com

KEYWORD: UNITED STATES NORTH AMERICA NEW YORK

INDUSTRY KEYWORD: PROFESSIONAL SERVICES BANKING FINANCE

SOURCE: Kroll Bond Rating Agency

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PUB: 06/14/2018 03:35 PM/DISC: 06/14/2018 03:35 PM

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