KBRA Assigns Preliminary Ratings to Flagstar Mortgage Trust 2020-2 (FSMT 2020-2)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 49 classes of mortgage pass-through certificates from Flagstar Mortgage Trust 2020-2 (FSMT 2020-2), a prime RMBS transaction including both agency-eligible (33.1%) and non-agency (66.9%) mortgage loans.

The FSMT 2020-2 pool comprises 580 first-lien, prime residential mortgage loans with an aggregate principal balance of approximately $407.4 million as of the March 1, 2020 cut-off date. The collateral consists entirely of fully-amortizing, fixed rate mortgages (FRMs), most of which possess a 30-year (99.7%) maturity term. The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 67.7% and WA original CLTV of 68.7%. The weighted average original credit score is 762, which is well within the prime mortgage range.

Notably, the FSMT 2020-2 transaction employed due diligence sampling on a portion of the underlying collateral, with full-scope due diligence (credit, compliance, valuation and data verification) on 39.1% of the pool (by loan count), while the remaining 60.9% of the loans did not receive any third-party review.

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.

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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. KBRA is also 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.


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