Press Release|RMBS

KBRA Affirms and Upgrades Ratings from Five SEMT RMBS Transactions, Resolves Watch

23 May 2024   |   New York


KBRA recently reviewed the ratings from five prime RMBS transactions issued by Sequoia Mortgage Trust (SEMT)—SEMT 2013-10, SEMT 2013-11, SEMT 2014-4, SEMT 2016-3 and SEMT 2017-5—resulting in 98 rating affirmations and two rating upgrades. Additionally, the ratings for SEMT 2014-4, classes B-1, B-2, B-3 and B-4 were removed from Watch Developing and have been affirmed, as prior interest shortfalls experienced by the bonds had been fully recovered as of the April 2024 distribution.

KBRA performed its analysis in accordance with its RMBS methodology. In performing these rating actions, KBRA considered transaction performance to date, updated home values via home price indexation, updated expected loss estimates, and capital structure behavior under various cash flow stress scenarios, where applicable. The rating actions, along with related deal and tranche performance information, are available in spreadsheet form in the accompanying KBRA RMBS Surveillance KCAT report.

The related transactions are listed further below with links to the appropriate page on which show the applicable resulting ratings. The affirmations reflect generally stable collateral and structure performance, as evidenced by increased credit support for rated classes and minimal losses since issuance. The rating upgrades considered each security’s credit support relative to KBRA’s updated loss expectations, as well as the generally positive performance trends exhibited by the related underlying pool since issuance.

Certain subordinate classes of the transactions listed below may have experienced losses and/or interest shortfalls. However, KBRA notes that none of the rated classes have experienced losses.

We note that, in general, these RMBS assets and liabilities can have long weighted average lives and structural features that provide for changes in payment priority over time. KBRA often considers seasoning in determining the extent of positive rating actions effectuated in a manner that also considers a transaction’s structure. This includes features such as the remaining size of more senior certificates, principal payments to subordinate tranches, and credit enhancement floor provisions. These features are weighed against, among other things, the tenor of the rated classes and the length of performance history associated with the collateral pool. In light of these considerations, KBRA has taken the rating actions as discussed above, determining that the rated classes were able to withstand the rating stresses applied within an acceptable tolerance.

For additional information regarding a specific transaction, see the list below to access ratings, new issue reports, and disclosures:

For additional information regarding a specific transaction, see the list below to access ratings, reports, and disclosures:

Related Publication



A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at

About KBRA

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

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