SGR 2021-2 RMBS Offering Includes Non-QM Loans

Kroll Bond Rating Agency (KBRA) has assigned preliminary ratings to six classes of mortgage pass-through certificates from SG Residential Mortgage Trust 2021-2 (SGR 2021-2).

The offering is a $229.4 million non-prime residential mortgage-backed security transaction sponsored by Shelter Growth Master Residential Mortgage Credit Fund. It comprises 376 residential mortgages characterized by moderate borrower leverage and a notable concentration of alternative income documentation.

The mortgage loans were underwritten using 12-Month Bank Statements (56%), Asset Utilization (3.5%), DSCR (29.7%) or Investor No Ratio (2.6%) or Full Documentation (8.1%). With respect to the Ability-to-Repay/Qualified Mortgage (ATR/QM) rule, approximately 66.2% of the loans were categorized as non-qualified mortgages (Non-QM). The remaining loans (33.8%) exempt from the ATR/QM rule due to being originated for business purposes.

KBRA assigned preliminary ratings as follows:

• A-1: AAA
• A-2: AA+
• A-3: A+
• M-1: BBB+
• B-1: BB+
• B-2: B+
• B-3, B-3-C, C, XS, XS-1, XS-2, XS-2-C, P, A-IO-S, R, LT-R: Not rated.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its RMBS Credit Model, an examination of the results from third-party loan file due diligence performed at the time of origination of the loans, 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.

More information on the offering is available from KBRA.