DBRS Finalizes Provisional Ratings on TIAA Bank Mortgage Loan Trust 2018-2

DBRS, Inc. (DBRS) finalized its provisional ratings on the following Mortgage Pass-Through Certificates, Series 2018-2 (the Certificates) issued by TIAA Bank Mortgage Loan Trust 2018-2 (the Trust):

-- $280.9 million Class A-1 at AAA (sf)
-- $280.9 million Class A-2 at AAA (sf)
-- $280.9 million Class A-3 at AAA (sf)
-- $182.6 million Class A-4 at AAA (sf)
-- $182.6 million Class A-5 at AAA (sf)
-- $182.6 million Class A-6 at AAA (sf)
-- $98.3 million Class A-7 at AAA (sf)
-- $98.3 million Class A-8 at AAA (sf)
-- $98.3 million Class A-9 at AAA (sf)
-- $210.7 million Class A-10 at AAA (sf)
-- $210.7 million Class A-11 at AAA (sf)
-- $210.7 million Class A-12 at AAA (sf)
-- $70.2 million Class A-13 at AAA (sf)
-- $70.2 million Class A-14 at AAA (sf)
-- $70.2 million Class A-15 at AAA (sf)
-- $28.1 million Class A-16 at AAA (sf)
-- $28.1 million Class A-17 at AAA (sf)
-- $28.1 million Class A-18 at AAA (sf)
-- $16.5 million Class A-19 at AAA (sf)
-- $16.5 million Class A-20 at AAA (sf)
-- $16.5 million Class A-21 at AAA (sf)
-- $297.4 million Class A-22 at AAA (sf)
-- $297.4 million Class A-23 at AAA (sf)
-- $297.4 million Class A-24 at AAA (sf)
-- $297.4 million Class A-IO1 at AAA (sf)
-- $280.9 million Class A-IO2 at AAA (sf)
-- $280.9 million Class A-IO3 at AAA (sf)
-- $280.9 million Class A-IO4 at AAA (sf)
-- $182.6 million Class A-IO5 at AAA (sf)
-- $182.6 million Class A-IO6 at AAA (sf)
-- $182.6 million Class A-IO7 at AAA (sf)
-- $98.3 million Class A-IO8 at AAA (sf)
-- $98.3 million Class A-IO9 at AAA (sf)
-- $98.3 million Class A-IO10 at AAA (sf)
-- $210.7 million Class A-IO11 at AAA (sf)
-- $210.7 million Class A-IO12 at AAA (sf)
-- $210.7 million Class A-IO13 at AAA (sf)
-- $70.2 million Class A-IO14 at AAA (sf)
-- $70.2 million Class A-IO15 at AAA (sf)
-- $70.2 million Class A-IO16 at AAA (sf)
-- $28.1 million Class A-IO17 at AAA (sf)
-- $28.1 million Class A-IO18 at AAA (sf)
-- $28.1 million Class A-IO19 at AAA (sf)
-- $16.5 million Class A-IO20 at AAA (sf)
-- $16.5 million Class A-IO21 at AAA (sf)
-- $16.5 million Class A-IO22 at AAA (sf)
-- $297.4 million Class A-IO23 at AAA (sf)
-- $297.4 million Class A-IO24 at AAA (sf)
-- $297.4 million Class A-IO25 at AAA (sf)
-- $4.6 million Class B-1 at AA (sf)
-- $4.6 million Class B-2 at A (sf)
-- $3.5 million Class B-3 at BBB (sf)
-- $2.0 million Class B-4 at BB (sf)

Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO15, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, A-IO22, A-IO23, A-IO24 and A-IO25 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-IO2, A-IO3, A-IO4, A-IO5, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO17, A-IO20, A-IO23, A-IO24 and A-IO25 are exchangeable certificates. These classes can be exchanged for combinations of exchange certificates as specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17 and A-18 are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes A-19, A-20 and A-21) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect the 5.25% of credit enhancement provided by subordinated certificates in the pool. The AA (sf), A (sf), BBB (sf) and BB (sf) ratings reflect 3.80%, 2.35%, 1.25% and 0.60% of credit enhancement, respectively.

Other than the specified classes above, DBRS does not rate any other classes in this transaction.

This transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages. The Certificates are backed by 450 loans with a total principal balance of $313,856,445 as of the Cut-Off Date (June 1, 2018).

TIAA, FSB (formerly known as EverBank, FSB) originated the mortgage loans directly or through correspondents and is the Sponsor and Servicer of the transaction. Wells Fargo Bank, N.A. (rated AA with a Stable trend by DBRS) will act as Master Servicer, Securities Administrator, Paying Agent and Certificate Registrar. U.S Bank National Association (rated AA (high) with a Stable trend by DBRS) will serve as Trustee and Custodian.

For any mortgage loan that becomes 90 days or more delinquent, the Servicer has the option to purchase such loan from the Trust at the repurchase price (the unpaid principal balance of such mortgage loan, plus accrued interest and other fees and expenses), subject to a maximum of 10.0% of the Cut-Off Date principal balance.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that is enhanced from a pre-crisis structure.

The ratings reflect transactional strengths that include financially strong transaction counterparties, high-quality underlying assets, well-qualified borrowers, a satisfactory third-party due diligence review and a traditional lifetime representations and warranties framework.

Although TIAA, FSB, as Everbank, issued two post-crisis prime jumbo RMBS transactions in 2013 under the EBMLT shelf, the Trust re-entered the market in 2018 with its first deal in several years. As a result, TIAA, FSB has limited performance history on securitized loans. However, the available historical performance on TIAA, FSB’s non-securitized prime jumbo production has been stellar with minimal delinquencies and no losses. Also, DBRS conducted operational risk assessments on TIAA, FSB’s origination and servicing platforms and deemed them to be acceptable.

The DBRS ratings address the timely payment of interest and full payment of principal by the legal final maturity date in accordance with the terms and conditions of the related Certificates.

The full description of the strengths, challenges and mitigating factors are detailed in the related report.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodologies are RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions, Operational Risk Assessment for U.S. RMBS Originators, Operational Risk Assessment for U.S. RMBS Servicers and Legal Criteria for U.S. Structured Finance, which can be found on dbrs.com under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.

The full report providing additional analytical detail is available by clicking on the link under Related Documents or by contacting us at info@dbrs.com.