KBRA Assigns Preliminary Ratings to Sequoia Mortgage Trust 2019-CH1 (SEMT 2019-CH1)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns ratings to 59 classes of
mortgage pass-through certificates from Sequoia Mortgage Trust 2019-CH1
(SEMT 2019-CH1) is an RWT Holdings, Inc. (Redwood) sponsored residential
mortgage-backed securities (RMBS) 2.0 issuance, which includes a
significant concentration of collateral that KBRA considers to be
“expanded prime”.

The SEMT 2019-CH1 mortgage pool comprises 475 first-lien mortgage loans
with an aggregate principal balance of $341,077,904, as of the cut-off
date. The underlying collateral consists entirely of fixed-rate
mortgages, nearly all of which are fully amortizing.

The ‘CH’ series designation serves to differentiate the transaction from
Redwood’s prior SEMT securitizations due to the inclusion of loans that:
(i) are not applicable for or do not meet the definition of QM and/or
(ii) possess one or more collateral attributes that represent an
expansion of the credit parameters used to originate ‘super-prime’ loans
in prior SEMT transactions. The expanded credit factors can include
loans with credit scores as low as 660, DTI ratios as high as 50 or
more, and LTVs above 80-85%. Furthermore, the loans can be originated
using non-traditional income qualification, including asset depletion,
with prudent guidelines.

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 2019-CH1, which was published on February 14,
2019 on www.kbra.com.

To access ratings, reports and disclosures, click 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
designated as a designated rating organization by the Ontario Securities
Commission for issuers of asset-backed securities to file a short form
prospectus or shelf prospectus, is recognized by the National
Association of Insurance Commissioners as a Credit Rating Provider and
is 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.

Contacts

Analytical:
Kristymarie
Cariello, Director
(646) 731-2494
kcariello@kbra.com

Jack
Kahan, Managing Director
(646) 731-2486
jkahan@kbra.com

Prabhjot
Singh, Analyst
(646) 731-3337
psingh@kbra.com

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