NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to fifty-four classes of mortgage pass-through certificates from Sequoia Mortgage Trust 2020-1 (SEMT 2020-1), a prime RMBS transaction. SEMT 2020-1 is a $459.3 million RMBS transaction collateralized by a pool of 742 residential mortgages containing highly seasoned collateral pool with loans originated between 2014 and 2019. This transaction is somewhat unique due to the concentration of seasoned collateral being securitized; however, the seasoned portfolio loans appear representative of the residential loans securitized by Redwood at the time of the loans’ origination.
The underlying collateral consists entirely of fully amortizing, fixed-rate mortgages. The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 70.9% and WA original CLTV of 71.3%. The weighted average original credit score is 772, which is 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)
- SEMT 2020-1 Pre-Sale Report
- SEMT 2020-1 Tear Sheet
- SEMT 2020-1 Representations & Warranties Disclosure
- 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
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.
Edward DeVito, Managing Director
Armine Karajyan, Associate Director
Jack Kahan, Senior Managing Director
Fei Han, Analyst
Michele Patterson, Managing Director