KBRA Assigns Preliminary Ratings to Sequoia Mortgage Trust 2018-CH3 (SEMT 2018-CH3)

Kroll Bond Rating Agency (KBRA) assigns ratings to 60 classes of
mortgage pass-through certificates from Sequoia Mortgage Trust 2018-CH3
(SEMT 2018-CH3), Redwood’s fifth prime issuance to contain a significant
concentration of loans that KBRA considers to be “expanded-prime.”

The SEMT 2018-CH3 mortgage pool comprises 549 first-lien mortgage loans
with an aggregate principal balance of $416,960,596, 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 2018-CH3, which was published on July 12, 2017 on www.kbra.com.

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
available to investors when issuing credit ratings. KBRA’s disclosure
for this transaction can be found in the report available here.

Related Publications: (available
at www.kbra.com)

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KBRA is a full service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. In addition, KBRA is
recognized by the National Association of Insurance Commissioners as a
Credit Rating Provider and 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.

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