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Kroll Bond Rating Agency Assigns Preliminary Ratings to Shellpoint Co-Originator Mortgage Trust 2017-1 (SCOT 2017-1)


Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 53 classes of mortgage pass-through certificates from Shellpoint Co-Originator Mortgage Trust 2017-1 (SCOT 2017-1), a prime jumbo RMBS transaction.

The SCOT 2017-1 mortgage pool comprises 392 first-lien residential loans with an aggregate principal balance of $280,375,649 as of the cut-off date. The collateral consists mostly of fixed rate mortgages (FRMs), with 30-year and 15-year collateral making up 99.3% and 0.1% of the pool, respectively. Approximately 0.6% of the loans are hybrid adjustable rate mortgages (ARMs) with an initial fixed rate term of seven years. All of the loans are fully amortizing. The pool is characterized by significant borrower equity in each mortgaged property, as evidenced by the WA original LTV of 68.0% and WA original CLTV of 68.1%. The weighted average original credit score is 763, 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.

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 contained in the offering documents when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled Shellpoint Co-Originator Mortgage Trust 2017-1 Representations and Warranties Disclosure.

Related publications:

Shellpoint Co-Originator Mortgage Trust 2017-1 Pre-Sale Report, published March 13, 2017
U.S. RMBS Rating Methodology, published July 7, 2016
Residential Mortgage Default and Loss Model, published January 16, 2015
KBRA Expects TRID to Have Limited Impact on RMBS Enhancement Levels, published April 13, 2016

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

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