KBRA assigns preliminary ratings to 6 classes of mortgage-backed notes from Saluda Grade Alternative Mortgage Trust 2023-SEQ3 (GRADE 2023-SEQ3), a $232.7 million RMBS transaction sponsored by Saluda Grade Opportunities Fund LLC. The collateral consisted of closed-end second lien mortgages (CES; 55.8%), second lien home equity lines of credit (HELOCs; 43.1%), and first lien HELOCs (1.1%). The underlying pool is seasoned six months and comprises 2,587 loans originated by Spring EQ, LLC. The CES collateral is characterized by fully amortizing, fixed-rate mortgages, while the HELOC portion consists of adjustable-rate mortgages with 10-year interest-only terms. The HELOCs also feature a 20-year repayment period after a 10-year initial draw window, with borrowers having drawn $102.8 million from the combined credit limit of $139.7 million (an 73.6% current draw percentage, also referred to as the utilization rate).

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Related Publications

• GRADE 2023-SEQ3 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.

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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. 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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