By Kroll Bond Rating Agency (KBRA) affirms its ratings on 50 classes of mortgage pass-through certificates from Sequoia Mortgage Trust (SEMT) 2012-1, SEMT 2012-2, SEMT 2013-1, SEMT 2013-2, SEMT 2013-3, and SEMT 2013-4, six jumbo prime RMBS transactions (see ratings listed below).
While all six of these transactions have experienced minimal delinquencies, no loans have defaulted. Therefore, there have been no losses since issuance. As of the December 25th remittances, SEMT 2012-2 and SEMT 2013-2 have no 30-day delinquent loans. SEMT 2012-1 and SEMT 2013-1 have one 30-day delinquent loan each with balances of $603,000 (0.33%) and $886,000 (0.28%), while SEMT 2013-3 and SEMT 2013-4 each have two 30-day delinquent loans with aggregate balances of $1.53 million (0.27%) and $1.92 million (0.34%), respectively.
Additionally, principal payments on all six pools have resulted in higher credit enhancement (CE) to each of the rated classes than the CE provided at closing. KBRA's analysis of home price trends indicate that the mortgage pools also benefit from home prices which, on average, have risen since issuance.
| SEMT 2012-1 Ratings | |||||||||
| Class | Rating | Balance (USD) | Rating Action | ||||||
| 1-A1 | AAA (sf) | $ 76,608,504.99 | Affirmed | ||||||
| 2-A1 | AAA (sf) | $ 75,580,321.99 | Affirmed | ||||||
| 1-AX | AAA (sf) | $ 76,608,504.99 (1) | Affirmed | ||||||
| 2-AX | AAA (sf) | $ 75,580,321.99 (1) | Affirmed | ||||||
| B-1 | AA (sf) | $ 10,531,510.32 | Affirmed | ||||||
| B-2 | A (sf) | $ 7,949,301.77 | Affirmed | ||||||
| B-3 | BBB (sf) | $ 4,968,433.11 | Affirmed | ||||||
| B-4 | BB (sf) | $ 5,166,329.14 | Affirmed | ||||||
(1) Notional Amount and Interest Only Certificates
| SEMT 2012-2 Ratings | |||||||||
| Class | Rating | Balance (USD) | Rating Action | ||||||
| A-1 | AAA (sf) | $ 51,611,080.47 | Affirmed | ||||||
| A-2 | AAA (sf) | $ 64,640,950.13 | Affirmed | ||||||
| A-3 | AAA (sf) | $ 40,897,000.00 | Affirmed | ||||||
| A-IO | AAA (sf) | $ 157,149,030.60 (1) | Affirmed | ||||||
| B-1 | AA (sf) | $ 8,577,958.36 | Affirmed | ||||||
| B-2 | A (sf) | $ 5,560,074.89 | Affirmed | ||||||
| B-3 | BBB (sf) | $ 3,653,431.33 | Affirmed | ||||||
| B-4 | BB (sf) | $ 1,588,869.63 | Affirmed | ||||||
(1) Notional Amount and Interest Only Certificates
| SEMT 2013-1 Ratings | |||||||||
| Class | Rating | Balance (USD) | Rating Action | ||||||
| 1-A1 | AAA (sf) | $ 110,185,545.72 | Affirmed | ||||||
| 2-A1 | AAA (sf) | $ 175,840,933.91 | Affirmed | ||||||
| 1-AX | AAA (sf) | $ 110,185,545.72 (1) | Affirmed | ||||||
| 2-AX | AAA (sf) | $ 175,840,933.91 (1) | Affirmed | ||||||
| B-1 | AA (sf) | $ 9,869,575.80 | Affirmed | ||||||
| B-2 | A (sf) | $ 6,579,717.20 | Affirmed | ||||||
| B-3 | BBB (sf) | $ 4,451,328.49 | Affirmed | ||||||
| B-4 | BB (sf) | $ 3,289,858.60 | Affirmed | ||||||
(1) Notional Amount and Interest Only Certificates
| SEMT 2013-2 Ratings | |||||||||
| Class | Rating | Balance (USD) | Rating Action | ||||||
| A | AAA (sf) | $ 555,211,568.90 | Affirmed | ||||||
| A-IO1 | AAA (sf) | $ 555,211,568.90 (1) | Affirmed | ||||||
| A-IO2 | AAA (sf) | $ 555,211,568.90 (1) | Affirmed | ||||||
| B-1 | AA (sf) | $ 14,422,191.78 | Affirmed | ||||||
| B-2 | A (sf) | $ 12,456,781.86 | Affirmed | ||||||
| B-3 | BBB (sf) | $ 6,555,631.19 | Affirmed | ||||||
| B-4 | BB (sf) | $ 5,572,434.14 | Affirmed | ||||||
(1) Notional Amount and Interest Only Certificates
| SEMT 2013-3 Ratings | |||||||||
| Class | Rating | Balance (USD) | Rating Action | ||||||
| A-1 | AAA (sf) | $ 140,776,985.84 | Affirmed | ||||||
| A-2 | AAA (sf) | $ 385,225,579.79 | Affirmed | ||||||
| A-IO1 | AAA (sf) | $ 140,776,985.84 (1) | Affirmed | ||||||
| A-IO2 | AAA (sf) | $ 526,002,565.63 (1) | Affirmed | ||||||
| B-1 | AA (sf) | $ 11,219,254.88 | Affirmed | ||||||
| B-2 | A (sf) | $ 9,743,554.92 | Affirmed | ||||||
| B-3 | BBB (sf) | $ 7,970,747.37 | Affirmed | ||||||
| B-4 | BB (sf) | $ 2,952,383.72 | Affirmed | ||||||
(1) Notional Amount and Interest Only Certificates
| SEMT 2013-4 Ratings | |||||||||
| Class | Rating | Balance (USD) | Rating Action | ||||||
| A-1 | AAA (sf) | $ 164,308,240.62 | Affirmed | ||||||
| A-2 | AAA (sf) | $ 163,914,844.99 | Affirmed | ||||||
| A-3 | AAA (sf) | $ 150,635,994.11 | Affirmed | ||||||
| A-4 | AAA (sf) | $ 42,205,000.00 | Affirmed | ||||||
| A-IO1 | AAA (sf) | $ 521,064,079.71 (1) | Affirmed | ||||||
| A-IO2 | AAA (sf) | $ 164,308,240.62 (1) | Affirmed | ||||||
| A-IO3 | AAA (sf) | $ 150,635,994.11 (1) | Affirmed | ||||||
| B-1 | AA (sf) | $ 10,802,072.13 | Affirmed | ||||||
| B-2 | A (sf) | $ 9,380,798.76 | Affirmed | ||||||
| B-3 | BBB (sf) | $ 6,253,208.30 | Affirmed | ||||||
| B-4 | BB (sf) | $ 3,126,604.15 | Affirmed | ||||||
(1) Notional Amount and Interest Only Certificates
Related publications:
- Sequoia Mortgage Trust Comprehensive Surveillance Report Q3 2013
- SEMT 2012-1 Pre-Sale Report
- SEMT 2012-2 Pre-Sale Report
- SEMT 2013-1 New Issue Report
- SEMT 2013-2 New Issue Report
- SEMT 2013-3 New Issue Report
- SEMT 2013-4 New Issue Report
- U.S RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
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Kroll Bond Rating Agency
Michele Patterson, 646-731-2397
mpatterson@kbra.com
or
Gaurav
Singhania, 646-731-2396
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or
Steve
McCarthy, 646-731-2343
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or
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Ferdman, 646-731-2379
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