KBRA assigns Sequoia Mortgage Trust 2021-9 (SEMT 2021-9) preliminary rating – QNT Press Release


The Kroll Bond Rating Agency (KBRA) has initially rated the 55-type mortgage pass-through certificate of Sequoia Mortgage Trust 2021-9 (SEMT 2021-9), which is a major RMBS transaction. SEMT 2021-9 contains 100% of QM (safe harbor) substandard mortgage loans, of which 2.8% of the loan pool originates from QM 1.0 and is classified as QM Safe Harbor, and approximately 97.2% of loans are designated as QM Safe Harbor (APOR) ) Under QM 2.0.

The SEMT 2021-9 mortgage loan pool consists of 578 first lien mortgage loans. As of the deadline, the principal balance totaled US$510,319,987. The underlying collateral consists entirely of fully amortized fixed-rate mortgages. The feature of this asset pool is that there are a large number of borrower’s equity in each mortgage property, which can be proved from 65.2% of WA original LTV and 65.4% of WA original CLTV. The weighted average original credit score is 773, which is within the range of high-quality mortgage loans.

KBRA’s rating method uses its KBRA RMBS credit model to analyze the loan level of the mortgage pool, checks the results of third-party loan documents due diligence, analyzes the cash flow model of the transaction payment structure, reviews…

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