KBRA assigns preliminary ratings to six classes of mortgage-backed notes from Saluda Grade Alternative Mortgage Trust 2022-2 (GRADE 2022-SEQ2), a $198.6 million RMBS transaction sponsored by Saluda Grade Opportunities Fund LLC (Saluda Grade) and backed by closed-end second lien mortgages (CES; 68.7%) and home equity lines of credit (HELOCs; 31.3%). The underlying pool is seasoned seven months and comprises 2,327 loans originated by Spring EQ, LLC (Spring EQ; 100%). The CES collateral is characterized by fully amortizing, fixed-rate mortgages (FRMs; 68.7%), while the HELOC portion consists of adjustable-rate mortgages (ARMs) with 10-year interest-only (IO) terms (31.3%). The HELOCs also feature a 20-year repayment period after a 10-year initial draw window, with borrowers having drawn $62.2 million from an available $76.6 million line of credit, as of the March 31, 2022 cut-off date.

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Related Publications

• GRADE 2022-SEQ2 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)
• U.S. RMBS Mortgage Default and Loss Model Methodology
• U.S. RMBS Rating Methodology
• Global Structured Finance Counterparty Methodology

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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