Market Overview

KBRA Assigns Preliminary Ratings to Starwood Mortgage Residential Trust 2018-IMC1 (STAR 2018-IMC1)


Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six
classes of mortgage pass-through certificates from Starwood's inaugural
non-prime RMBS securitization, Starwood Mortgage Residential Trust
2018-IMC1 (STAR 2018-IMC1).

STAR 2018-IMC1 is the first residential mortgage-backed securities
(RMBS) transaction issued by the Sponsor (Starwood Non-Agency Lending,
LLC), a division of Starwood Capital Group (SCG). The $378.1 million
transaction is collateralized by a pool of 899 mortgages, which are
mostly classified as non-prime as the collateral pool contains borrowers
with prior credit events (8.7%), loans using alternative income
documentation sources such as bank statements (56.3%), asset
qualification (5.5%) and investor cash flow/business-purpose loans
(26.2%). 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 (62.9%), and the rest are exempt from the ATR rule (37.1%) as
the loans were originated for investment properties.

The underlying collateral consists of hybrid adjustable rate mortgages
(58.1%) and fully-amortizing fixed-rate loans (41.9%), including
interest only loans (11.2%) with mostly five-year interest only periods
(10.3%). Loans in the pool exhibit substantial borrower equity, as
evidenced by the WA original LTV of 63.9% and CLTV of 64.0%. The pool
has a WA original credit score of 726, and a WA loan age of 12 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.

For complete details on the analysis, please see our pre-sale report,
Starwood Mortgage Residential Trust 2018-IMC1, which was published on
August 2, 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, STAR
2018-IMC1 Trust Representations and Warranties Disclosure

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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.

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