Press Release

Morningstar DBRS Assigns Provisional Credit Ratings to Sequoia Mortgage Trust 2024-1

January 02, 2024

DBRS, Inc. (Morningstar DBRS) assigned the following provisional credit ratings to Mortgage Pass-Through Certificates, Series 2024-1 (the Certificates) to be issued by Sequoia Mortgage Trust 2024-1:

-- $374.7 million Class A-1 at AAA (sf)
-- $374.7 million Class A-2 at AAA (sf)
-- $374.7 million Class A-3 at AAA (sf)
-- $281.0 million Class A-4 at AAA (sf)
-- $281.0 million Class A-5 at AAA (sf)
-- $281.0 million Class A-6 at AAA (sf)
-- $93.7 million Class A-7 at AAA (sf)
-- $93.7 million Class A-8 at AAA (sf)
-- $93.7 million Class A-9 at AAA (sf)
-- $224.8 million Class A-10 at AAA (sf)
-- $224.8 million Class A-11 at AAA (sf)
-- $224.8 million Class A-12 at AAA (sf)
-- $149.9 million Class A-13 at AAA (sf)
-- $149.9 million Class A-14 at AAA (sf)
-- $149.9 million Class A-15 at AAA (sf)
-- $56.2 million Class A-16 at AAA (sf)
-- $56.2 million Class A-17 at AAA (sf)
-- $56.2 million Class A-18 at AAA (sf)
-- $44.1 million Class A-19 at AAA (sf)
-- $44.1 million Class A-20 at AAA (sf)
-- $44.1 million Class A-21 at AAA (sf)
-- $418.8 million Class A-22 at AAA (sf)
-- $418.8 million Class A-23 at AAA (sf)
-- $418.8 million Class A-24 at AAA (sf)
-- $418.8 million Class A-25 at AAA (sf)
-- $418.8 million Class A-IO1 at AAA (sf)
-- $374.7 million Class A-IO2 at AAA (sf)
-- $374.7 million Class A-IO3 at AAA (sf)
-- $374.7 million Class A-IO4 at AAA (sf)
-- $281.0 million Class A-IO5 at AAA (sf)
-- $281.0 million Class A-IO6 at AAA (sf)
-- $281.0 million Class A-IO7 at AAA (sf)
-- $93.7 million Class A-IO8 at AAA (sf)
-- $93.7 million Class A-IO9 at AAA (sf)
-- $93.7 million Class A-IO10 at AAA (sf)
-- $224.8 million Class A-IO11 at AAA (sf)
-- $224.8 million Class A-IO12 at AAA (sf)
-- $224.8 million Class A-IO13 at AAA (sf)
-- $149.9 million Class A-IO14 at AAA (sf)
-- $149.9 million Class A-IO15 at AAA (sf)
-- $149.9 million Class A-IO16 at AAA (sf)
-- $56.2 million Class A-IO17 at AAA (sf)
-- $56.2 million Class A-IO18 at AAA (sf)
-- $56.2 million Class A-IO19 at AAA (sf)
-- $44.1 million Class A-IO20 at AAA (sf)
-- $44.1 million Class A-IO21 at AAA (sf)
-- $44.1 million Class A-IO22 at AAA (sf)
-- $418.8 million Class A-IO23 at AAA (sf)
-- $418.8 million Class A-IO24 at AAA (sf)
-- $418.8 million Class A-IO25 at AAA (sf)
-- $418.8 million Class A-IO26 at AAA (sf)
-- $9.9 million Class B-1 at AA (sf)
-- $4.6 million Class B-2 at A (sf)
-- $3.5 million Class B-3 at BBB (sf)
-- $1.3 million Class B-4 at BB (sf)

Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, A-IO11, A-IO12, A-IO13, A-IO14, A-IO15, A-IO16, A-IO17, A-IO18, A-IO19, A-IO20, A-IO21, A-IO22, A-IO23, A-IO24, A-IO25, and A-IO26 are interest-only (IO) certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-10, A-11, A-13, A-14, A-15, A-16, A-17, A-19, A-20, A-22, A-23, A-24, A-25, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO11, A-IO14, A-IO15, A-IO16, A-IO17, A-IO20, A-IO23, A-IO24, A-IO25, and A-IO26 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, A-16, A-17, and A-18 are super senior notes. These classes benefit from additional protection from the senior support notes (Classes A-19, A-20, and A-21) with respect to loss allocation.

The AAA (sf) credit ratings on the certificates reflect 5.00% of credit enhancement provided by subordinated notes. The AA (sf), A (sf), BBB (sf), and BB (sf) credit ratings reflect 2.75%, 1.70%, 0.90%, and 0.60% credit enhancement, respectively.

Other than the specified classes above, Morningstar DBRS does not rate any other classes in this transaction.

The transaction is a securitization of a portfolio of first-lien, fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 410 loans with a total principal balance of $440,855,395 as of the Cut-Off Date (January 1, 2024).

Redwood Residential Acquisition Corporation (RRAC), as Seller, acquired the loans from various originators, each comprising less than 15.0% of the pool. Select Portfolio Servicing, Inc. will service all the mortgage loans in the pool.

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of primarily 30 years and a weighted-average loan age of seven months. The loans were generally underwritten in accordance with the acquisition criteria related to the below RRAC programs.
-- Select: traditional, nonagency, prime jumbo mortgage loans.
-- Select AUS: traditional, nonagency, prime jumbo mortgage loans that were underwritten using an automated underwriting system (AUS) designated by Fannie Mae and Freddie Mac (the GSEs), but may be ineligible for purchase by such Agencies because of loan size.
-- Choice: RRAC's expanded credit origination program.

None of the loans are conforming mortgages that are eligible for purchase by the GSEs. All of the loans in the pool were originated in accordance with the new Qualified Mortgage rule.

The Servicing Administrator (or the Master Servicer or the Securities Administrator, as applicable) will fund advances of delinquent principal and interest (P&I) on any mortgage until such loan becomes 120 days delinquent (stop advance loan). In addition, the Servicing Administrator is obligated to fund servicing advances in respect of taxes, insurance premiums, and reasonable costs incurred in the course of servicing and disposing properties. The transaction incorporates a fixed servicing fee.

The transaction employs a senior-subordinate, shifting-interest cash flow structure that incorporates performance triggers and credit enhancement floors.

The interest entitlements for each class in this transaction are reduced reverse sequentially by the delinquent interest that would have accrued on the stop advance loans. In other words, investors are not entitled to any interest on such severely delinquent mortgages, unless such interest amounts are recovered. The delinquent interest recovery amounts, if any, will be distributed sequentially to the P&I certificates.

The representations and warranties (R&W) framework is generally similar to other Morningstar DBRS-rated prime jumbo securitizations. Such framework incorporates R&W that substantially conform to Morningstar DBRS criteria, automatic breach reviews when loans become seriously delinquent, unrated R&W providers with a Seller backstop, independent evaluator review, no knowledge qualifiers, and no sunsets on any R&W.

The credit ratings reflect transactional strengths that include the following:
-- Extensive Shelf History with Strong Performance.
-- High-Quality Credit Attributes.
-- Well-qualified borrowers.
-- Satisfactory third-party due-diligence review.
-- Structural enhancements.
-- 100% current loans.

The transaction also includes the following challenges:
-- Servicing Administrator's Financial Capabilities.
-- Limited Advances of Delinquent P&I.

The full description of the strengths, challenges, and mitigating factors is detailed in the related presale report.
Morningstar DBRS’ credit rating on the Certificates addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations for each of the rated Certificates are the related Interest Distribution Amounts, the related Interest Shortfalls, and the Class Principal Amounts (for non-IO Certificates).

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued.

There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

A description of how Morningstar DBRS considers ESG factors within the Morningstar DBRS analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at (July 4, 2023).

All figures are in U.S. dollars unless otherwise noted.

The principal methodology applicable to the credit ratings is RMBS Insight 1.3: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology (August 31, 2023;

Other methodologies referenced in this transaction are listed at the end of this press release.

The credit rating was initiated at the request of the rated entity.

The rated entity or its related entities did participate in the credit rating process for this credit rating action.

Morningstar DBRS had access to the accounts, management, and other relevant internal documents of the rated entity or its related entities in connection with this credit rating action.

This is a solicited credit rating.

A provisional credit rating is not a final credit rating with respect to the above-mentioned securities and may change or be different than the final credit rating assigned or may be discontinued. The assignment of final credit ratings on the above-mentioned securities is subject to receipt by Morningstar DBRS of all data and/or information and final documentation that Morningstar DBRS deems necessary to finalize the credit ratings.

Please see the related appendix for additional information regarding the sensitivity of assumptions used in the credit rating process.

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277

The credit rating methodologies used in the analysis of this transaction can be found at:

-- Assessing U.S. RMBS Pools Under the Ability-to-Repay Rules (April 28, 2023;
-- Interest Rate Stresses for U.S. Structured Finance Transactions (June 9, 2023;
-- Third-Party Due-Diligence Criteria for U.S. RMBS Transactions (September 8, 2023;
-- Representations and Warranties Criteria for U.S. RMBS Transactions (May 16, 2023;
-- Legal Criteria for U.S. Structured Finance (December 7, 2023;
-- Operational Risk Assessment for U.S. RMBS Originators (August 31, 2023;
-- Operational Risk Assessment for U.S. RMBS Servicers (August 31, 2023;

For more information on this credit or on this industry, visit or contact us at [email protected].