NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 42 classes of mortgage pass-through certificates from PSMC 2019-2 Trust (PSMC 2019-2), a prime jumbo RMBS transaction jointly sponsored by subsidiaries of American International Group, Inc. (AIG).
The PSMC 2019-2 pool comprises 568 first-lien, prime residential mortgage loans with an aggregate principal balance of $397,097,065 as of the cut-off date. The collateral consists of 30-year and 20-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 71.8% and WA original CLTV of 71.9%. The weighted average original credit score is 775, 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.
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- PSMC 2019-2 Pre-Sale Report
- PSMC 2019-2 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
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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. 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.
Armine Karajyan, Associate Director
Jack Kahan, Senior Managing Director
Tom Reilly, Analyst