NEW YORK, June 16, 2021– (COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six categories of mortgage transfer certificates of SG Residential Mortgage Trust 2021-1 (SGR 2021-1), a non-blue chip RMBS transaction of 202.3 million of dollars. The underlying guarantee, made up of 264 residential mortgages, is characterized by a notable concentration of alternative income documentation, with 88.7% of loans secured on 12-month bank statements (64.4%), Investor DSCR (18.0%), Investor No Ratio (0.9%) and asset utilization (5.5%). Regarding the Repayment Ability / Qualifying Mortgage (ATR / QM) rule, approximately 73.6% of the loans were classified as Non-Qualifying Mortgages (Non-QM). The remaining loans (26.4%) were classified as QM Safe Harbor (0.2%) or exempt from the ATR / QM rule (26.2%) due to their origin for commercial purposes (that is, i.e. investment properties).
KBRA’s scoring approach incorporated a loan-level analysis of the mortgage pool through its RMBS credit model, a review of the results of due diligence of third-party loan files performed at the time of loan origination. , a cash flow modeling analysis of the payment structure of the transaction, reviews of the major parties to the transaction and an assessment of the legal structure and documentation of the transaction. This analysis is described in more detail in our US RMBS rating methodology.
Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (when they are a key factor in changing the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of relevant key rating assumptions, if any) used to determine the credit rating are available in the information disclosure form (s) located here.
Information on the meaning of each rating category can be located here.
Further information relating to this rating measure is available in the information disclosure form (s) mentioned above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.
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