Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 28 classes of mortgage pass-through certificates from Flagstar Mortgage Trust 2020-2 (FSMT 2020-2), a prime transaction made up entirely of non-agency jumbo mortgages.
The pool is comprised of 720 residential mortgages with an aggregate principal balance of $554.2 million as of the August 1, 2020 cut-off date. The collateral consists entirely of fully-amortizing, 30-year fixed rate mortgages (FRM). The pool is characterized by significant borrower equity in the mortgaged properties, as evidenced by the WA original LTV of 64.5% and WA original CLTV of 65.0%. The weighted average original credit score is 767, which is well within the prime mortgage range.
- FSMT 2020-2 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology for Assessing Non-QM Risk
- U.S. RMBS Rating Methodology
- Global Structured Finance Counterparty Methodology
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.
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.
Armine Karajyan, Director (Lead Analyst)
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Tom Reilly, Analyst
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Jack Kahan, Senior Managing Director (Rating Committee Chair)
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