KBRA Assigns Preliminary Ratings to Sequoia Mortgage Trust 2018-4 (SEMT 2018-4)

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Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to fifty-four classes of mortgage pass-through certificates from Sequoia Mortgage Trust 2018-4 (SEMT 2018-4), a prime RMBS transaction. SEMT 2018-4 contains both prime jumbo (79.5%) and high-balance conforming (20.5%) collateral to borrowers with prime attributes.

The SEMT 2018-4 mortgage pool is composed of 493 first-lien mortgage loans with an aggregate principal balance of $338,667,575 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 69.4% and WA original CLTV of 69.9%. The weighted average original credit score is 770, 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, Sequoia Mortgage Trust 2018-4, which was published on April 12, 2018 on www.kbra.com. A tear sheet summarizing certain items of the transaction can be found here.

Representations & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available here.

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

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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Business Wire: 22:19 GMT Monday 16th April 2018

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