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 2020-4 (SEMT 2020-4), a prime RMBS transaction. SEMT 2020-4 contains 100% QM (Safe Harbor) mortgage loans, and no loans in the subject collateral pool are in active forbearance as of October 19, 2020.
The SEMT 2020-4 mortgage pool is composed of 350 first-lien mortgage loans with an aggregate principal balance of $304,355,620 as of the cut-off date. 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 773, 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.
- SEMT 2020-4 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)
+1 (646) 731-1210
Fei Han, Associate
+1 (646) 731-2342
Jack Kahan, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-2486
Michele Patterson, Managing Director
+1 (646) 731-2397