NEW YORK–(BUSINESS WIRINGKroll Bond Ratings Agency (KBRA) assigns provisional ratings to fifty-five classes of end-to-end mortgage certificates from Sequoia Mortgage Trust 2021-5 (SEMT 2021-5), the main RMBS transaction. SEMT 2021-5 contains 100% non-compliant QM (Safe Harbor) mortgages and as of June 14, 2021, there are no loans in active deferral in this pool.
The SEMT 2021-5 mortgage pool consists of 522 first-pledge mortgages with an aggregate principal balance of US $ 450,855,509 at the cut-off date. The underlying collateral consists entirely of mortgage loans with a fixed interest rate and full amortization. The pool is characterized by a significant share of the borrower in each pledged property, as evidenced by the baseline LTV WA of 66.9% and the baseline CLTV WA of 67.2%. The initial weighted average credit rating is 772, which is within the main range of mortgages.
The KBRA rating approach included loan-level mortgage pool analysis using the KBRA RMBS credit model, analysis of the results of due diligence of the loan file by a third party, cash flow modeling analysis of the transaction payment structure, reviews of the main parties to the transaction, and an assessment of the legal structure of the transaction and documentation. This analysis is further described in our US RMBS ranking methodology.
Additional information on the key aspects of creditworthiness, a sensitivity analysis that examines the factors that can affect these credit ratings and how they can lead to an upgrade or downgrade, and ESG factors (where they are a key driver of credit rating or rating forecast changes) can be found in the full rating report mentioned above.
A description of all material sources used to prepare the credit rating and information on the methodology (s) (including any significant models and sensitivity analysis of the related key rating assumptions, if applicable) used in determining the credit rating is available. in the Disclosure Forms located here…
Information on the meaning of each rating category can be found here…
Additional information disclosed in connection with this rating action is available in the disclosure form (s) referred to above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures is available at www.kbra.com…
Kroll Bond Rating Agency, LLC (KBRA) is a full cycle credit rating agency registered by the US Securities and Exchange Commission as the NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority under the Temporary Registration Regime. In addition, KBRA has been designated by the Ontario Securities Commission as the rating organization for issuers of asset-backed securities to file a short prospectus or a completed prospectus. KBRA is also recognized as a credit rating provider by the National Insurance Commissioners Association.