A pool of 620 prime, jumbo mortgages will secure $792.2 million in residential mortgage-backed securities (RMBS)
Sequoia Mortgage Trust, 2026-2, will sell notes through a series of class A and B tranches that include, exchangeable and notional notes that have a March 2056 final maturity date, according to Kroll Bond Rating Agency.
The deal, SEMT 2026-2, will repay investors through a senior-subordinate structure, with a shifting-interest structure.
In the latter, the subordinate classes will receive scheduled principal payments while the senior notes are outstanding. They are locked out from getting any unscheduled principal or prepayment cash flow, however, for a period.
Morgan Stanley is the deal's sole bookrunner, which is expected to close on February 18. Meanwhile, Stifel, Nicolaus is the transaction's co-manager.
The super senior tranches benefit from 15.00% in credit enhancement levels, while the senior support tranche benefits from 5.35% in enhancement, according to KBRA.
Otherwise, the B1A and B2A tranches, benefit from levels of 3.40% and 2.20%, respectively, the rating agency said. Meanwhile, subordinate notes B3, B4, B5, and B6 receive credit enhancement with levels of 1.20%, 0.60%, 0.30% and 0.00%, KBRA said.
Most of the notes, which are class A, are expected to receive AAA ratings. After that, the B1 and B2 notes are expected to receive ratings of AA- and A-, respectively; while the B3, B4 and B5 notes are expected to receive ratings of BBB-, BB- and B-, respectively.
Almost the entire collateral pool, 98.2%, received third-party due diligence, KBRA. It also carries moderate leverage, with a loan-to-value (LTV) ratio of 73.6%
On average, the loans in the pool have an average balance of $1.2 million. On a non-zero, weighted-average (WA) basis, the borrowers have an annual income of $636,063, with liquid reserves of $721,115.
