KBRA Assigns Preliminary Ratings to Shellpoint Co-Originator Trust 2017-2 (SCOT 2017-2)

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Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to fifty-three classes of mortgage pass-through certificates from Shellpoint Co-Originator Trust 2017-2 (SCOT 2017-2), a prime RMBS transaction. SCOT 2017-2 contains both prime jumbo (92.2%) and high-balance conforming (7.8%) collateral to borrowers with prime attributes.

The SCOT 2017-2 mortgage pool is composed of 459 first-lien mortgage loans with an aggregate principal balance of $323,377,050, as of the cut-off date. The underlying collateral consists predominantly of fully amortizing, fixed-rate mortgages (99.6%), with a small portion of the pool (0.40%) having 7-year hybrid adjustable-rate mortgage terms. The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 69.9% and WA original CLTV of 70.2%. The weighted average original credit score is 769, 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.

For complete details on the analysis, please see our pre-sale Report, Shellpoint Co-Originator Trust 2017-2, which was published on September 12, 2017 on www.kbra.com.

Related Publications: (available at www.kbra.com)

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About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

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Business Wire: 22:44 GMT Wednesday 13th September 2017

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