Fitch Ratings has affirmed the following classes of Sequoia Mortgage Trust 9:
--Class 1A (Cusip:81743SAA8) at 'BBBsf'; Rating Outlook Stable;
--Class 2A (Cusip:81743SAB6) at 'BBBsf'; Rating Outlook Stable;
--Class X-1A (Cusip:81743SAC4) at 'BBBsf'; Rating Outlook Stable;
--Class X-1B (Cusip: 81743SAD2) at 'BBBsf'; Rating Outlook Stable;
--Class X-B (Cusip: 81743SAE0) at 'Bsf'; Rating Outlook Stable;
--Class B-1 (Cusip: 81743SAG5) at 'Bsf'; Rating Outlook Stable;
--Class B-2 (Cusip: 81743SAH3) at 'CCCsf', RE 100%;
--Class B-3 (Cusip: 81743SAJ9) at 'Csf', RE 30%;
--Class B-5 (Cusip: sqmt9b5vv) at 'Dsf', RE 0%.
Fitch has downgraded the rating on the following class:
--Class B-4 (Cusip: sqmt9b4vv) to 'Dsf', RE 0% from 'Csf'.
KEY RATING DRIVERS
The transaction is a Prime U.S. RMBS securitization issued in 2002. The transaction has experienced less than 15 basis points of loss to date. Collateral performance has improved over the past year with the percentage of loans 60 or more days delinquent decreasing by more than five percent. Despite the strong collateral trends the potential for further upgrades is limited. Since the number of loans collateralizing the transaction is approaching 100, additional rating caps will be applied. The additional caps reflect the greater risk associated with a smaller number of loans and the greater impact a negative performance has on the pool as a whole.
RATING SENSITIVITIES
Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.
The analysis includes rating stress scenarios from 'CCCsf' to 'AAAsf'. The 'CCCsf' scenario is intended to be the most likely base-case scenario. Rating scenarios above 'CCCsf' are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the 'Bsf' scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the 'AAAsf' scenario.
Classes with a rating below 'CCCsf' are likely to default at some point in the future. As default becomes more imminent, those classes are expected to migrate towards 'Csf' and eventually 'Dsf'.
The ratings of bonds currently rated 'Bsf' or higher will be sensitive to future mortgage borrower behavior, which historically has been strongly correlated with home price movements. Fitch currently considers national home prices to be at or near sustainability and does not expect either positive or negative movements in prices in the near future. While Fitch's ratings reflect this home price view, the ratings of outstanding classes may be subject to revision to the extent actual home price and mortgage performance trends differ from those currently projected by Fitch.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'U.S. RMBS Surveillance and Re-REMIC Criteria' (June 24, 2014);
--'Global Structured Finance Rating Criteria' (May 20, 2014);
--'U.S. RMBS Loan Loss Model Criteria' (Nov. 17, 2014);
--'U.S. RMBS Cash Flow Analysis Criteria' (April 16, 2014);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (Jan. 23, 2014);
--'Criteria for Rating Caps and Limitations in Global Structured Finance Transactions' (May 28, 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);
--'Structured Finance Recovery Estimates for Distressed Securities' (Nov. 18, 2011).
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=976935
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