Kroll Bond Rating Agency Assigns Preliminary Ratings to Shellpoint Co-Originator Trust 2016-1 (SCOT 2016-1)

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 64 classes of mortgage pass-through certificates from Shellpoint Co-Originator Trust 2016-1 (SCOT 2016-1), a prime jumbo RMBS transaction.

The SCOT 2016-1 mortgage pool is composed of 486 first-lien, residential mortgage loans with an aggregate principal balance of $353,680,581 as of the cut-off date. The collateral consists mostly of fixed rate mortgages (FRMs), with 30-year FRMs and 15-year FRMs making up 83.4% and 15.7% of the pool, respectively. Approximately 0.9% of the loans are hybrid adjustable rate mortgages (ARMs) with initial fixed rate terms of five (0.2%), seven (0.4%) or ten (0.2%) years. All of the loans are fully amortizing. The pool is characterized by substantial borrower equity in each mortgaged property, as evidenced by the WA original LTV of 68.5% and WA original CLTV of 68.6%. The weighted average original credit score is 760, 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.

For complete details on the analysis, please see our Pre-Sale Report, Shellpoint Co-Originator Trust 2016-1, which was published on November 10, 2016 on www.kbra.com.

Related publications:
Shellpoint Co-Originator Trust 2016-1 Pre-Sale Report, published November 10, 2016
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

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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).

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Gary Narvaez, 646-731-2478
gnarvaez@kbra.com
or
Patrick Gervais, 646-731-2426
pgervais@kbra.com
or
Ryon Aguirre, 646-731-2382
raguirre@kbra.com
or
Jack Kahan, 646-731-2486
jkahan@kbra.com

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Gary Narvaez, 646-731-2478
gnarvaez@kbra.com
or
Patrick Gervais, 646-731-2426
pgervais@kbra.com
or
Ryon Aguirre, 646-731-2382
raguirre@kbra.com
or
Jack Kahan, 646-731-2486
jkahan@kbra.com