NEW YORK–(BUSINESS WIRE) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to fifty-four classes of mortgage transmission certificates of Sequoia Mortgage Trust 2021-2 (SEMT 2021-2), a premier RMBS transaction. SEMT 2021-2 contains 100% non-compliant QM (Safe Harbor) mortgages, and no loan from this pool is actively forborne as of March 8, 2021.

The SEMT 2021-2 mortgage pool is made up of 381 first mortgage loans with an aggregate principal balance of $ 348,479,193 as of the cut-off date. The underlying collateral consists entirely of fixed rate amortizing mortgages. The pool is characterized by substantial borrowing capital in each mortgaged property as evidenced by the original WA LTV of 66.3% and the original WA CLTV of 66.7%. The initial weighted average credit score is 778, which is within the range for prime mortgages.

KBRA’s scoring approach incorporated loan-level analysis of the mortgage pool through its US RMBS mortgage default and loss model, a review of the results of due diligence of third-party loan files, an analysis modeling the cash flow of the transaction payment structure, reviews of the key transaction parties and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.

Click on here to view the report. To access the relevant notes and documents, click on here.

Related publications

Disclosures

Further information on key credit considerations, sensitivity analyzes that take into account the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (where they are a key driver of change in credit rating or rating outlook) can be found in the comprehensive rating report mentioned above.

A description of all substantially significant sources that were used in preparing the credit rating and information on the methodology (s) (including significant models and sensitivity analyzes of key relevant rating assumptions, where applicable applicable) used to determine the credit rating are available in the information disclosure form (s) located here.

Information on the meaning of each rating category can be found here.

Additional information relating to this rating action is available in the Information Disclosure Form (s) mentioned above. Additional information regarding KBRA policies, methodologies, rating scales and information is available at: www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as CRA with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is designated as a designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.