sg residential mortgage trust 2019-3 · collateral type first-lien and second-lien, fixed- and...

Presale:

SG Residential Mortgage Trust 2019-3October 10, 2019

Preliminary Ratings

Class Rating Amount ($)Interest rate(%)(i)

Credit enhancement(%) Class type

A-1 AAA (sf) 300,088,000 Fixed 32.25 Senior

A-2 AA (sf) 32,777,000 Fixed 24.85 Senior

A-3 A (sf) 56,917,000 Fixed 12.00 Senior

M-1 BBB (sf) 24,140,000 Fixed 6.55 Subordinate

B-1 BB (sf) 14,839,000 Fixed 3.20 Subordinate

B-2 B (sf) 10,187,000 Fixed 0.90 Subordinate

B-3 NR 3,987,214 Net WAC N/A Subordinate/initial exchangeable

B-3-C NR 3,987,214 Net WAC N/A Subordinate/call option/exchangeable

A-IO-S NR Notional(ii) (iii) N/A Excess servicing

C NR 1,000 N/A N/A Notional/call option/exchangeable

XS NR Notional(iv) (v) N/A Monthly excess cashflow/prepaymentpremium/exchangeable

XS-1 NR Notional(iv) (v) N/A Monthly excess cashflow/prepaymentpremium/initial exchangeable

XS-2 NR Notional(iv) (v) N/A Monthly excess cashflow/prepaymentpremium/exchangeable

XS-2-C NR Notional(iv) (v) N/A Monthly excess cashflow/prepaymentpremium/call option/initial exchangeable

R NR N/A N/A N/A Residual

LT-R NR N/A N/A N/A Residual

Note: This presale report is based on information as of Oct. 10, 2019. The ratings shown are preliminary. This report does not constitute arecommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from thepreliminary ratings. (i)Interest can be deferred on the classes. Fixed coupons are subject to the pool's net WAC rate. (ii)Notional amount willequal to the aggregate scheduled principal balance of the mortgage loans as of the first day of the related due period. (iii)Excess servicing stripplus excess prepayment strip minus compensating interest payments. (iv)Notional amount will equal to the aggregate certificate principalbalance of the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 or B-3-C certificates (immediately before such distribution date). (v)Certain excessamounts per the pooling and servicing agreement and prepayment premiums during the related prepayment period. WAC--Weighted averagecoupon. N/A--Not applicable. NR--Not rated.

Presale:

SG Residential Mortgage Trust 2019-3October 10, 2019

PRIMARY CREDIT ANALYST

Julian He, CFA

New York

(1) 212-438-8154

[email protected]

SECONDARY CONTACT

Asish B Gelal

New York

+ 212-438-1755

[email protected]

SURVEILLANCE CREDIT ANALYST

Truc T Bui

San Francisco

(1) 212-438-2673

[email protected]

ANALYTICAL MANAGER

Vanessa Purwin

New York

+ 1 (212) 438 0455

[email protected]

www.standardandpoors.com October 10, 2019 1

© S&P Global Ratings. All rights reserved. No reprint or dissemination without S&P Global Ratings' permission. See Terms of Use/Disclaimeron the last page.

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mailto: [email protected]








Profile

Closing date Oct. 25, 2019.

Cut-off date Oct. 1, 2019.

Distribution date The 25th of each month, or the next business day, beginning Nov. 25, 2019.

Stated maturity date Sept. 25, 2059.

Certificate balance,including unrated classes

$442.935 million in aggregate.

Collateral type First-lien and second-lien, fixed- and adjustable-rate, mostly fully amortizing residentialmortgage loans secured by single-family residential properties, planned-unit developments,condominiums, and two- to four-family residential properties to both prime and nonprimeborrowers. The pool has 780 loans, which are primarily non-qualified mortgage loans.

Credit enhancement For each class of rated certificates, subordination in the form of certificates that are lower inpayment priority as well as excess spread that preserves subordination.

Participants

Issuer SG Residential Mortgage Trust 2019-3.

Seller and servicing administrator SG Capital Partners LLC.

Depositor One Dock Mortgage LLC.

Master servicer Nationstar Mortgage LLC; an S&P Global Ratings' select master servicer.

Servicer Select Portfolio Servicing Inc.; an S&P Global Ratings' select subprime, subordinatelien, and special servicer.

Securities administrator andcertificate registrar

Citibank N.A.

Trustee Wilmington Savings Fund Society FSB.

Custodian Wilmington Trust N.A.

Originators SG Capital Partners LLC d/b/a ClearEdge Lending contributing 11.4% of the pool bybalance, and 76 different originators contributing 88.6%.

Primary Originators/Loan Sellers Making Up Greater Than 10.0% Of The Collateral

Entity By balance (%) Due diligence (%) Originator ranking

SG Capital Partners LLC d/b/a ClearEdgeLending

11.4 100 N/A

Top 5 37.8 100

Top 10 58.2 100

N/A--Not applicable.

Rationale

The preliminary ratings assigned to SG Residential Mortgage Trust 2019-3's (SGRMT 2019-3's)$442.935 million mortgage pass-through certificates reflect our view of:

- The pool's collateral composition (see the Collateral Summary section below);



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Presale: SG Residential Mortgage Trust 2019-3

- The credit enhancement provided for this transaction;

- The transaction's associated structural mechanics;

- The representation and warranty (R&W) framework for this transaction; and

- The mortgage aggregator, SG Capital Partners LLC (SG Capital).

Collateral Summary

SGRMT 2019-3's assets consist primarily of fixed- and five-, seven-year adjustable-rate fullyamortizing and interest-only non-qualified mortgage (non-QM) loans secured by first liens onresidential properties (the mortgage loans). The mortgage pool consists of 780 mortgage loanswith a principal balance of approximately $442.9 million as of the cut-off date. The vast majority ofthe loans in the pool have 30-year original terms to maturity, and the pool's weighted averageseasoning is approximately seven months.

The collateral pool, from a credit perspective, is weaker than the S&P Global Ratings archetypalprime pool but is generally in line with our expectations of a nonprime residential mortgage pool.The 'AAA' loss coverage requirement for the pool was determined to be 24.45%. Certaincharacteristics of the mortgage loans that we considered weaker than the archetypal pool in ouranalysis (see the Strengths And Weaknesses section) include:

- Alternative income documentation on loans;

- Prior credit events (PCEs);

- Primarily non-QM loans; and

- Significant geographic concentration.

The weighted average current FICO score for the collateral pool is 716, which includes certain S&PGlobal Ratings assumptions (see table 2 for a breakdown of the pool by the borrowers' FICO score).There are 32 loans to foreign borrowers (3.1% by balance) in the pool. For loans made to foreignborrowers missing FICO scores we used a FICO score of 666 and applied a 1.5x multiple to theforeclosure frequencies.

Approximately 86.1%, by balance, are mortgage loans backed by properties that are primaryresidences. Of the pool balance, 60.0% of the mortgages are backed by single-family residences,29.0% are backed by planned-unit developments, 6.6% are backed by condominiums, and 3.6%are backed by two- to four-family homes. For more detail on the characteristics of the mortgageloans please see table 1 below.

Table 1

Collateral Characteristics

SGR2019-3

SGR2018-1

GCAT2019-NQM2

VERUS2019-3

AOMT2019-4

Archetypalpool(i)

Closing pool balance (mil. $) 442.9 140.1 402.9 569.1 558.5 N/A

Closing loan count (no.) 780 254 1,056 1,158 1,551 N/A

Avg. loan balance ($) 567,866 551,687 381,604 491,457 360,075 N/A

WA original CLTV (%) 71.9 71.9 65.5 70.6 77.6 75

WA current CLTV (%) 71.2 71.6 63.4 70.4 77.3 75

WA FICO score(ii) 716 703 731 702 699 725



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Table 1


SGR2019-3

SGR2018-1

GCAT2019-NQM2

VERUS2019-3

AOMT2019-4

Archetypalpool(i)

WA current rate (%) 6.9 6.6 5.9 6.7 7.1 N/A

WA original term (mos.) 370 360 368 373 360 360

WA seasoning (mos.) 7 3 9 3 3 0-6

WA debt-to-income (%) 36.7 35.0 36.5 36.3 34.2 36

WA DSCR N/A N/A 1.2 N/A 1.2 N/A

Owner occupied (%) 86.0 87.0 64.2 81.3 82.4 100

Single-family (including PUD) (%) 89.0 86.9 77.5 86.0 88.0 100

Adjustable-rate loans (%) 50.3 65.1 83.5 67.2 64.0 0

Loans with IO payments (%) 18.4 3.2 10.0 23.8 3.7 0

Purchase (%) 56.8 61.9 57.4 47.5 66.1 100

Cash-out refinancing (%) 26.5 28.8 29.7 40.9 27.8 0

Full documentation (%) 44.8 47.3 36.7 36.5 30.0 100

Alternative/bank statementdocumentation (%)

53.5 51.9 42.1 62.3 62.2 0

Other/asset depletion/DSCRdocumentation (%)

1.7 0.8 21.2 1.2 7.8 0

Self-employed borrowers (%) 68.7 68.2 53.3 73.0 68.8 0

Loans with co-borrowers (%) 34.6 39.5 22.9 32.1 37.6 0

Loans to borrowers with multiplemortgages (%) (iii)

1.7 0 3.6 2.3 3.0 N/A

Loans to foreign borrowers (%) 3.1 3.3 3.8 4.2 1.0 0

Modified loans (%)(iv) 0 0.3 0 0 0 0

PCEs (%)(iv) 3.8 9.2 5.5 2.7 4.5 0

Current (%) 100 100 100 100 100 100

30+ day delinquent (%) 0 0 0 0 0 0

Length of P&I advancing (mos.)(v) 6 6 6 6 6 full

Pool-level adjustments (multiplicative factors)

Geographic concentration 1.06 1.08 1.10 1.08 1.00 1.00

Mortgage operationalassessment

1.05 1.05 1.05 1.00 0.95 1.00

Representations and warranties 1.10 1.10 1.10 1.10 1.10 1.00

Other (i.e. loanmodification/PCE/due diligence)

1.06 1.14 1.01 1.04 1.07 1.00

Combined pool-leveladjustments(vii)

1.30 1.42 1.28 1.24 1.12 1.00

Loss estimation

AAA' loss coverage (%)(viii) 24.45 26.20 20.50 28.70 36.35 7.50

AAA' foreclosure frequency(%)(viii)

43.86 45.59 43.08 51.85 59.35 15.00



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Table 1


SGR2019-3

SGR2018-1

GCAT2019-NQM2

VERUS2019-3

AOMT2019-4

Archetypalpool(i)

AAA' loss severity (%)(viii) 55.75 57.47 47.59 55.35 61.25 50.00

BBB' loss coverage (%)(viii) 7.85 8.20 6.00 9.40 13.05 1.50

BBB' foreclosure frequency(%)(viii)

22.11 23.02 21.76 26.79 31.37 5.00

BBB' loss severity (%)(viii) 35.50 35.62 27.57 35.09 41.60 30.00

(i)As defined in our Feb. 22, 2018, criteria article. (ii)FICO score reflects the most recent scores obtained. We assume 666 for missing FICOinformation. (iii)Limited to borrowers who have multiple mortgage loans or properties included in the securitized pool. (iv) Limited to modifiedand PCE loans considered in our analysis. (v)Months of P&I advancing on a delinquent mortgage loan to the extent such advances are deemedrecoverable. (vi)The adjustment factor is solely reflective of the due diligence adjustment factor given that PCE were adjusted at the loan levelfor the comparison transactions. (vii)Combined pool-level adjustments are the product of each pool-level adjustment listed above. (viii)Losscoverage, foreclosure frequency, and loss severity displayed for the comparison transactions were derived using methodologies andassumptions that are no longer used and have been superseded by the methodologies and assumptions contained within our Feb. 22, 2018,criteria article. (ix)DSCRs were not disclosed or analyzed. WA--Weighted average. CLTV--Combined loan-to-value ratio. DSCR--Debt servicecoverage ratio. PUD--Planned-unit development. IO--Interest-only. PCEs--Prior credit events. P&I--Principal and interest. N/A--Notapplicable.

Table 2

Updated Credit Score Statistics

FICO score Current balance (%) No. of loans Average current balance ($)

725+ 42.5 300 627,704

700-724 21.3 161 587,147

660-699 25.2 219 509,085

Below 660 11.0 100 486,038

Total 100.0 780 567,866

Transaction Structure

Chart 1 shows an overview of the transaction's structure.



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Chart 1

The transaction is structured as a double true sale of the receivables from the seller, SG CapitalPartners LLC, to the depositor (One Dock Mortgage LLC) and from the depositor to the issuing trust(SGRMT 2019-3). The issuing trust transfers the certificates to the depositor. The depositor sellsthem to the initial purchasers, who sell them to third-party investors. The non-offered certificates,as well as the certificates required to be held to satisfy the risk retention rules, are sold by thedepositor to related entities of the seller.

In rating this transaction, S&P Global Ratings will review the legal matters that it believes arerelevant to its analysis, as outlined in its criteria.

Strengths And Weaknesses

We believe the following characteristics strengthen the SGRMT 2019-3's transaction:

- The mortgage pool generally consists of loans to borrowers with considerable home equity, as



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demonstrated by the pool's weighted average original combined loan-to-value ratio (LTV) of71.9%.

- The third-party due diligence providers--AMC Diligence LLC (AMC), Clayton, and Inglet BlairLLC--are on our list of reviewed providers and performed due diligence on 100% of the pool'sloans. Their reviews encompassed regulatory compliance, credit (underwriting) compliance,property valuations, and data quality.

- The class A-1, A-2, and A-3 certificates (the senior classes) benefit from a credit support floorwhere no principal is paid to the subordinate classes until the class A certificates are retired.Additionally, principal is paid sequentially among the senior classes in periods when thedelinquency trigger or cumulative loss trigger has failed, further protecting the more-seniorclasses.

We believe the following factors weaken the SGRMT 2019-3 transaction:

- Income on 428 of the 780 mortgage loans (53.5% by balance) was verified using personal orbusiness bank statements with the majority using 24 months of bank statements. We viewincome verification using bank statements to be a weaker standard than "full" documentationof income, and consequently we increased our loss coverages for these loans by applying anadjustment to the foreclosure frequencies. We applied an adjustment factor of 2.00x and 1.75xto the foreclosure frequencies for loans using 12-23 months of bank statement and to loansusing at least 24 months of bank statements, respectively.

- Non-QMs, which have an increased risk of ability-to-repay (ATR) challenges and associatedlosses, make up 83.9% of the pool. We applied an adjustment to loss severities per our criteriato account for this risk.

- At loan origination, 21.7% of the pool by balance was reported as having PCEs such asbankruptcy, foreclosure, short sale, or deed-in-lieu in the recent past that may have madethem ineligible for agency or prime jumbo products. We applied an adjustment to theforeclosure frequencies (and consequently, the loss coverage) to 42 loans (3.8% by balance)that had a bankruptcy discharged or dismissed in the past two years or had a housing-relatedPCE (foreclosure, short-sale, or deed-in-lieu) in the past three years from the Oct. 1, 2019,cut-off date to account for this risk.

- Of the loans, 319 (36.1% of the pools by balance) were made to borrowers with current FICOscores below 700. The loss estimate of the mortgage pool has been increased to account for theincreased default risk of these loans.

- The seller, an unrated entity, is providing R&Ws for this transaction that are consistent with theset of representations published in our criteria. However, we view the R&W framework to beweak because the controlling holder (initially, a party related to the seller) solely determineswhether to test for material breaches. In addition, the early payment default (EPD) covenant theseller provided is weaker than what we generally look for in a rated transaction. A third-partydue diligence on 100% of the loans, along with the alignment of interest between certificateholders and the seller, which holds the first-loss piece and retains risk via a 5% vertical slice ofthe capital structure, somewhat mitigates the weaknesses of the framework. Consequently, weapplied an R&W adjustment that increased our loss expectations at all rating categories by a1.10x factor.



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Credit Analysis And Assumptions

Our analysis of the SGRMT 2019-3 collateral pool considered a number of factors including certainloan-level characteristics.

Documentation type

The seller's guidelines allow income verification using paystubs, W-2s/W-2 equivalents, taxreturns, bank statements, and, as applicable, CPA letters. The seller also considers assetdepletion as borrower income to qualify for monthly payments. Table 3 shows the breakdown ofthe documentation type used in our analysis.

Table 3

Documentation Type (Income Verification Type/Length)

Loancount

(no.)Current

balance (%)

Alternative incomeverification length (WA

# of months)

Foreclosurefrequency

adjustment factors(x)

AAA foreclosurefrequency without pooladjustment factors (%)

Full documentation

AppendixQ/qualifiedmortgage

29 5.6 1 28.8

Full (24+ months) 215 26.6 1 26.6

Full (12-23 months) 57 8.1 1.25 32.8

Full (1-11 months) 41 4.4 1.5 47.2

Alternative documentation(i)

24+ months(primary source)

Business bankstatements

218 29.3 24.3 1.75 44.6

Personal bankstatements

32 3.6 24.2 1.75 39.6

CPA letter 3 0.3 24 1.75 61.2

12-23 months(primary source)


136 15.9 12.6 2 39.7


39 4.5 12.6 2 48.3

CPA letter - - - 2 -

1-11 months(primary source)


- - - 2.25 -


- - - 2.25 -



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Table 3

Documentation Type (Income Verification Type/Length) (cont.)

Loancount

(no.)Current

balance (%)

Alternative incomeverification length (WA

# of months)

Foreclosurefrequency

adjustment factors(x)

AAA foreclosurefrequency without pooladjustment factors (%)

CPA letter - - - 2.25 -

Other documentation

Other (DSCR) - - - 3.15-6 -

Other (applied0.00 DSCR)

- - - 6 -

Other (assetdepletion)

10 1.7 3 39.9

(i)The documentation source may include other secondary documentation types. WA--Weighted average.

For loans that meet qualified mortgage (QM) standards or for which income is otherwiseunderwritten in accordance with Appendix-Q of CFPB Regulation Z, we generally apply adocumentation type adjustment factor of 1.00x. Twenty-nine loans, 5.6% by pool balance, meetthese requirements.

For 313 loans, approximately 39.2% of the pool balance, traditional (full) documentation was usedfor fully verifying and calculating the borrower(s)' qualifying income (e.g., written verification ofemployment, pay stubs, W2s, personal and business tax returns, IRS transcripts). We applied adocumentation type adjustment factor ranging from 1.00x to 1.50x depending on the length of theincome verification.

We classified all loans to borrowers that used income derived from bank statements (business orpersonal) as "alternative" documentation loans. Bank statements were used on 428 of the 780mortgage loans (53.5% by balance) with the majority of borrowers having using 24 months of bankstatements. We view income verification using bank statements to be a weaker standard than"full" documentation of income, and consequently we increased our loss coverages for theseloans by an adjustment factor ranging from 1.75x to 2.00x.

Ten loans in the pool (1.7% by pool balance) were underwritten under a lending program thatconsiders accumulated assets rather than a verified income stream. We classified these loans as"other" documentation loans and applied a 3.00x adjustment to the foreclosure frequencies.

PCE classification and analysis

The borrowers on a portion of the mortgage loans have had one or more PCEs such asbankruptcies, or housing-related PCEs such as foreclosures, short sales, or deed-in-lieus offoreclosure, which may have limited their access to loan products offered by the various agencies.Although these borrowers' current FICO scores likely reflect their PCEs, we made an incrementaladjustment to the foreclosure frequencies to account for this unique pool characteristic. Webelieve that a borrower's behavior surrounding a PCE could indicate what they would do whenfaced with a similar situation in the future--and suggests a greater likelihood they woulddefault--notwithstanding this and other adverse performance already incorporated in their FICOscore. Therefore, these borrowers may behave in a manner more similar to borrowers that are 30days delinquent.



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We focused primarily on prior bankruptcy, foreclosure, short-sale, and deed-in-lieu events in therecent past (24 months from the cut-off date for bankruptcy discharges and dismissals and 36months from the cut-off date for housing-related events). For loans to borrowers withmore-seasoned PCEs, we believe that the associated risks are reflected in the current FICO.

We applied a pool-level PCE-related loss coverage adjustment factor of 1.06x, which was derivedfrom the weighted average of a 2.50 factor (30-day delinquent loan factor) for 42 loans (3.8% bybalance) and a 1.00x factor for the remaining loans in the mortgage pool.

QM and ATR standards

The Consumer Financial Protection Bureau issued final regulations for mortgage loans withapplications submitted on or after Jan. 10, 2014, specifying the standards for a QM. The ruleapplies to all mortgage loans included in this securitization. Per the designation provided by theseller, 15 loans are designated as QM/non-higher-priced mortgage loan (HPML), 14 loans aredesignated as QM/HPML, 667 loans are categorized as non-QM/ATR compliant, and 84 loans wereexempt from the QM/ATR rule because they are listed as investment properties (see table 4 for aQM breakout).

Under the ATR rule, as more fully described in our criteria (see Appendix I of "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018), theoriginator and any assignee are jointly and severally liable for certain damages that may beincurred from noncompliance with the rule. For each of the loans in the pool subject to the rule, weapplied our criteria and determined that about 150 basis points of additional credit enhancementwere needed at the 'AAA' rating category. The data the issuer provided to S&P GlobalRatings--including additional fields that validate the loan's QM designation--were reviewed by thedue-diligence firms under the third-party due-diligence firms' scope to verify that documentationexists to support the QM designation. In addition, we reviewed an ATR/QM-specific questionnairethat the aggregator provided in conjunction with our aggregator review, and we concluded that theaggregator's processes address the ATR risks.

Table 4

QM Breakout

QM status Pool balance ($) % by pool balance Loan count (no.) % by loan count

QM/non-HPML 17,148,616 3.9 15 1.9

QM/HPML 7,635,559 1.7 14 1.8

Non-QM/ATR compliant 371,728,665 83.9 667 85.5

Not covered/ATR exempt 46,422,375 10.5 84 10.8

Total 442,935,215 100.0 780 100.0

QM--Qualified mortgage. HPML--Higher-priced mortgage loan.

Servicer advancing obligations

Advance of delinquent principal and interest payments (P&I) on any delinquent mortgage loan ismade until it is either greater than 180 days delinquent (limited P&I advancing) or such P&Iadvance is deemed unrecoverable. P&I Advances must be funded first by a reduction in theamount of the aggregate excess servicing strip otherwise payable to holders of the Class A-IO-S



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certificates for such distribution date and second, to the extent the excess servicing strip hasbeen reduced to zero for such distribution date, by the servicing administrator. If the servicingadministrator fails to make required P&I Advances, the master servicer or the securitiesadministrator must make such required P&I Advances. Unlike P&I advances, servicing advances ofdelinquent taxes and insurance (and other property preservation advances) on any delinquentmortgage loan must be made until the related property is liquidated or the servicer deems theadvance to be unrecoverable. We adjusted the loss severities to account for this limited P&Iadvancing.

Borrowers with multiple loans

We made no additional adjustment to the loss coverage and the tail risk analysis as only sixborrowers have multiple loans in the SGRMT 2019-3 pool. These loans combined represent 1.7%of the pool balance.

Structural Features

Like other nonprime residential mortgage-backed securities (RMBS) transactions, SGRMT 2019-3has a structure that is a mix of pro rata and sequential structures; principal is paid pro rata amongthe senior classes (subject to passing delinquency trigger and cumulative loss trigger tests) andthen sequentially to the subordinate classes. In the periods when a trigger fails, principal is paidsequentially to classes A-1, A-2, and A-3.

The transaction also uses excess monthly cash flow to cover current period realized losses andreimburse any previously applied realized loss amounts. This feature allows certain certificates(classes A-3, M-1, B-1, and B-2) to have the initial credit enhancement provided by subordinationto be lower than our estimated loss coverage amounts.

The securities administrator will make monthly distributions of interest from the interestremittances and principal from principal remittances (see table 5, 6, and 7).

The interest remittance amount includes the interest collected from or advanced on behalf ofborrowers (including interest payments that accompany prepayments, any compensating interestand interest portions of liquidation proceeds minus expenses, subsequent recoveries, terminationprices, and repurchase amounts) minus servicing, master servicing, servicing administrator,trustee, and custodial fees, as well as the servicer advance reimbursements permitted under thepooling and servicing agreement, reimbursable expenses incurred by the controlling holder, andextraordinary expenses, which are generally capped at $350,000 annually. Although theextraordinary expenses are passed through as reduced contractual interest due tocertificateholders, we ran these expenses at their capped amounts, as described further in theInterest stresses section below. We also considered the extraordinary expenses when analyzingprojected interest reduction amounts, as described further in the Imputed Promises Analysissection below.

Principal remittance amounts include the principal collected from or advanced on behalf ofborrowers (including prepayments, principal portions of liquidation proceeds minus expenses,subsequent recoveries, termination prices, and repurchase amounts) minus fees including ETEsthat could not be paid from interest collections.



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Table 5

Interest Payment Waterfall

Priority Payment

1 Interest and interest carryforward amounts(i) sequentially to the class A-1, A-2, A-3, M-1, B-1,B-2,and B-3 certificates.

2 Any remaining amounts paid as part of monthly excess cash flows.

(i)Interest carryforward amounts are deferred interest payments that accrue interest at the lower of the respective fixed coupon and the netWAC rate. Our preliminary ratings address the full payment of all interest and interest carryforward amounts by the final maturity date.WAC--Weighted average coupon.

Table 6

Principal Payment Waterfall

Priority Payment

1 Interest and unpaid interest carryforward amounts sequentially to the class A-1, A-2,and A-3 certificates.

2 Principal pro rata to the class A-1, A-2, and A-3 certificates until reduced to zero.

3 Interest and unpaid interest carryforward amounts to the class M-1 certificates.

4 Principal to the class M-1 certificates until reduced to zero.

5 Interest and unpaid interest carryforward amounts to the class B-1 certificates.

6 Principal to the class B-1 certificates until reduced to zero.





12 Any remaining amounts paid as part of monthly excess cash flows.

If the cumulative loss ordelinquency trigger fails.

The principal proceeds are allocated IPIP, sequentially to the class A-1, A-2, A-3, M-1,B-1, B-2, and B-3 notes until each note is reduced to zero.

IPIP--Interest, principal, interest, principal.

Table 7

Monthly Excess Cash Flow Waterfall

Priority Payment

1 Sequentially to the class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 certificates up to the realized lossamount for the current period until their respective class certificates are reduced to zero.

2 Sequentially, up to the aggregate applied realized losses to the class A-1, A-2, A-3, B-1, B-2, and B-3certificates until their respective certificate amounts are reduced to zero.

3 To the class XS-1 certificates on any distribution date on or before the initial optional redemptiondate, and to the class XS-2-C certificates on any distribution date after the initial optionalredemption date.

4 Any amounts due to reimburse extraordinary trust amounts that exceed annual caps to the relevanttransaction parties.

5 Any remaining amounts to the class LT-R or R certificates.



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Interest on classes A-1, A-2, A-3, M-1, B-1, and B-2 is based on the lower of the coupon on thecertificates and the net weighted average coupon (WAC) rate. For class B-3, interest is equal to thenet WAC rate. The net WAC rate is defined as the weighted average of the mortgage interest ratesof the loans, net of fees, and extraordinary trust expenses weighted based on the loans' principalbalances. In line with our imputed promises criteria, our preliminary ratings address the lower ofthese two rates (see "Principles For Rating Debt Issues Based On Imputed Promises," publishedon Dec. 19, 2014).

Under the transaction documents, the issuer can defer interest payments on these securities. Afailure to pay the interest amounts due on the securities will result in the interest being deferred.Deferred interest (interest carryforward amounts) accrues interest at the lower of the fixed rateand net WAC rate for classes A-1, A-2, A-3, M-1, B-1, and B-2, and net WAC rate for class B-3. Ourpreliminary ratings on the classes address the P&I payments (including interest carryforwardamounts) by the certificates' final maturity date.

In SGRMT 2019-3, the subordinate certificates are paid principal sequentially after all seniorcertificates have been paid. Unlike the credit enhancement seen in shifting-interest RMBSstructures, which may deplete due to scheduled and prepaid principal paid to the subordinateclasses, the credit enhancement provided by the subordinate certificates in SGRMT 2019-3 doesnot deplete because no principal payments are made to a subordinate certificates unless it is themost senior bond outstanding.

Although principal is paid pro rata among the senior classes from the start, and there is nospecific credit enhancement floor that would switch the payment priority of the senior classes tosequential, we believe that the transaction is adequately enhanced for the assigned preliminaryratings (taking into account any tail risk considerations [see the Large Loan And Tail RiskConsiderations section]) given that the transaction starts with 12.00% enhancement for the seniorclasses, which then grows as a percentage of the current balance as they get paid down.Additionally, the cumulative loss and delinquency triggers (see tables 8 and 9) protect themore-senior classes in tail risk situations if defaults increased much later in the transaction's life(a back-ended default curve) by switching the payment priority among the senior classes tosequential.

Table 8

Cumulative Loss Trigger Event

Distribution date occurring in the followingperiods

Applied realized loss amounts since closing date as a % of the cut-offdate pool balance

November 2019-October 2022 2.00



November 2024 and thereafter 8.00

Table 9

Delinquency Trigger Event

Distribution date occurring in thefollowing periods

Six-month average of 60+ day DQ plus loans modified in past 12 months as a% of the current pool balance



November 2024 and thereafter 30.00



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If the aggregate class balance of the certificates exceeds the pool balance, the resulting excess(the applied realized loss amount) is applied reverse sequentialy to the class B-3, B-2, B-1, M-1,A-3, A-2, and A-1 certificates until each class' principal balance has been reduced to zero.

If the pool balance exceeds the aggregate class balance of the certificates (after the allocation ofprincipal payments and monthly excess cash flows to pay down the certificates), the balances ofthe class A-1, A-2, A-3, M-1, B-1, B-2, and B-3 certificates will be "written up" to the aggregateamount of applied realized losses.

Geographic Concentration

S&P Global Ratings analyzes the pool's geographic concentration risk based on theconcentrations of loans in each of CBSAs defined by the U.S. Office of Management and Budget(see Appendix II of "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later,"published Feb. 22, 2018). In this transaction, the top five CBSAs account for nearly 46.6% of theaggregate pool. Because of this geographic concentration, we applied a Herfindahl adjustmentfactor (a concentration measure based on the sum of the squared CBSA concentrations related toa benchmark concentration) of 1.06x to our base loss coverage estimate.

Table 10

Geographic Concentration

CBSA code(i) CBSA State % by balance

31084 Los Angeles-Long Beach-Anaheim California 19.5

11244 Los Angeles-Long Beach-Anaheim California 10.8

36084 San Francisco-Oakland-Hayward California 5.7

40140 Riverside-San Bernardino-Ontario California 5.4

41740 San Diego-Carlsbad California 5.2

Top 5 46.6

(i)CBSA code refers to the metropolitan division code, if available. CBSA--Core-based statistical area (includes metropolitan statistical areasand metropolitan divisions where defined, as well as micropolitan statistical areas).

Large Loans And Tail Risk Considerations

As the number of loans in the transaction decreases, the effect of a single loan's losses becomesgreater. If conditional prepayment rates are slow and collateral pool losses are not realized untillater in a transaction's life (back-loaded losses), pro rata pay mechanisms can then leave thesenior certificates exposed to event risk later in the transaction's life (for more information on tailrisk in RMBS transactions, see "Older RMBS Transactions Face Increased Tail Risk As Their PoolsShrink," published Aug. 9, 2012). To mitigate this risk, the transaction documents typically providefor a credit enhancement floor, specifying principal payments not be made to subordinate classesif the credit support available to the senior classes falls below a threshold. SGRMT 2019-3 doesnot explicitly provide a credit enhancement floor; however, due to the sequential paymentmechanism to the subordinate classes, which make up 12.00% of the capital structure, the 'AAA(sf)', 'AA (sf)', and 'A (sf)' rated classes effectively have a floor of 12.00% initially. Although, overtime, subordination can be depleted due to realized losses, the effective floor to the more-seniorclasses can increase when losses or delinquencies go over certain thresholds and trip thecumulative loss or delinquency triggers, making the payment priority fully sequential.



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To analyze the appropriateness of this effective credit enhancement floor, we use an approachoutlined in "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later,"published Feb. 22, 2018. Per this approach, instead of focusing on the largest loans by balance atissuance, we risk-weight the loans in the transaction by focusing on those loans with the largestexpected loss exposure assuming default.

After considering the enhancement provided in the transaction in conjunction with the cumulativeloss trigger and delinquency trigger definitions and the expected paydown on the certificates, webelieve the rated senior certificates are sufficiently protected from tail risk as the transactionseasons.

Mortgage Operational Review (MOA)

SG Capital Partners LLC

We conducted a mortgage operational review (MOA) of SG Capital Partners LLC's (SG Capital)acquisition process for qualified mortgage (QM) and non-QM mortgage loans and assigned anoverall AVERAGE MOA ranking to SG Capital. Based on the results of our MOA, we determined aloss coverage adjustment factor of 1.05x for SG Capital, which accounts for the company's highlyexperienced management team and 100% due diligence review of its loan acquisitions, measuredagainst an untested operating track record and mortgage loan performance as well as a lack offormal independent risk management functions.

Our qualitative review is based on our assessment of three primary focus areas for operationalreviews. For aggregators, the primary focus areas are management and organization, loanpurchase and aggregation, and internal controls. For the quantitative analysis, we reviewedorigination volume, loan characteristics, and loan performance history, including delinquencies,EPDs, losses, and repurchases for SG Capital.

Founded in 2014 and headquartered in Stamford, Conn., SG Capital is a private finance companywith approximately $90 million in equity as of Dec. 31, 2018. During 2019, the company waslicensed to purchase loans in 49 states and had a network of 109 approved sellers. SG Capital, awholly owned subsidiary of SGCP Holdco LLC, has an affiliation with Shelter Growth CapitalPartners LLC (Shelter Growth). Shelter Growth is a registered investment advisor (RIA) that hadapproximately $2.2 billion in assets under management as of Sept. 30, 2019.

SG Capital conducts 100% due diligence on loans that it acquires using a third-party review firmthat is on S&P Global Ratings' reviewed list (see "S&P Global Ratings Publishes List Of Third-PartyDue Diligence Firms Reviewed For U.S. RMBS As Of Feb. 23, 2018"). The scope of the review, whichis consistent with market standards, comprises a full re-underwrite on these loans (credit,compliance, property valuation, and fraud). All loans are required to be submitted to an automatedfraud and data check tools.

The company has a thorough counterparty review process where a counterparty committee setsminimum standards for seller approvals and acts on applications for new sellers and ensurescomprehensive monitoring of existing sellers. It conducts background checks, financial analysis,and onsite operational review meetings with key employees for all prospective sellers, which wesee as a positive.

SG Capital has limited performance history because it was formed in 2014 and started purchasingloans in January 2015, and it has not yet experienced a housing or economic downturn. As of Dec.31, 2017, the company had purchased approximately $1.3 billion in residential mortgage loans. As



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expected, in line with its peers, the loans that the company acquired have experienced minimal60- or 90-plus delinquencies, EPDs, and repurchases and no losses.

Key assessment factors

Strengths:

- Experienced management team averaging over 20 years of industry experience;

- A thorough review process by the counterparty committee for new sellers and comprehensivemonitoring of existing sellers;

- Requirement to conduct 100% due diligence (pre-purchase) on all acquisitions, which includesa full review of credit, compliance, property valuation, and fraud. This is conducted by athird-party review firm that is on S&P Global Ratings' reviewed list; and

- Absence of legacy issues, allowing the company to build a holistic approach to managing itsaggregation platform.

Partly offsetting the above strengths are, in our view, the following weaknesses:

- Untested operating and loan performance history: the company was formed in 2014 andstarted purchasing loans in January 2015; it has not yet experienced a housing or economicdownturn;

- Lack of a formal independent risk management function and post-purchase quality control (QC)process; and

- Absence of an internal audit program.

Third-Party Due Diligence Review

AMC, Clayton, and Inglet Blair performed third-party due diligence on 100% of the loans in thetransaction. The scope of their review of the loans encompassed compliance, credit, and valuationreviews. All loans were in scope of TILA-RESPA Integrated Disclosure rule (TRID). As such, thethird-party due diligence firms followed the SFIG RMS 3.0 TRID Compliance Review Scope inconducting their final loan reviews (see "Standard & Poor's Comfortable With SFIG Draft ProposalRegarding TRID Due Diligence," published April 25, 2016). According to our published third-partydue diligence criteria, we adjust our loss expectations based on our view of the firms' findings (seeAppendix III of "Methodology And Assumptions For Rating U.S. RMBS Issued 2009 And Later "published Feb. 22, 2018). One loan had TRID rules finding, so we added $34,000 to our loss severityestimate at all rating categories. After reviewing the third-party due diligence results, we applied aneutral adjustment of 1.0x to the loss coverage.

R&Ws

Our review of the representations and warranties (R&Ws) for SGRMT 2019-3 focused on whetherthe representations made by the seller were substantially consistent with the set ofrepresentations we published as part of our criteria (see Appendix IV of "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018). In addition,our review of the R&W framework accounts for automatic review triggers, knowledge qualifiers,sunset provisions, and enforcement mechanisms. We evaluated the strength of the R&W



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framework and considered whether any breach could have a materially adverse impact on theinterests of the transaction's certificate holders. If the R&Ws and framework do not address theissues in our published R&W framework, we will determine whether we believe it is appropriate toassess additional credit enhancement. Lastly, we considered the seller's ability to fulfill theirobligations in the event of a breach.

The collateral pool consists of loans from various originators sold to the seller. In this transaction,the seller does not pledge the originators' R&Ws to the trust but rather makes R&Ws on themortgage loans itself. The seller is an unrated entity that may be financially unable to repurchaseloans if the need arises. While the SGRMT 2019-3 R&W framework is consistent with other R&Wframeworks utilized in comparable nonprime-rated transactions, we consider it to be weak,because the controlling holder (the majority owner of the class XS-2 or XS-2-C certificates and,initially, a party related to the seller) solely determines whether to test for material breaches(other than any loans showing losses related to ATR or TRID violations, or if the loan is thecompliance violation loan).

The R&Ws are generally consistent with our published criteria (see "Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later," published Feb. 22, 2018) and willremain in effect for the transaction's life. However, given that the statute of limitations under NewYork law for R&W claims is generally six years from the date a representation is made, there iseffectively an expiration date on the R&Ws. In addition, while the early payment default covenantis generally consistent with that seen in other nonprime-rated transactions, it is weaker than whatis generally laid out as the standard in our criteria, which calls for the seller to repurchase amortgage loan when the borrower fails to make any of the first three monthly payments due. ForSGRMT 2019-3, if a borrower fails to make any of the first three monthly payments after theorigination date within 60 days of that payment's due date, and subsequently any monthlypayment is 30 or more days delinquent on any date until the sixth due date following theorigination date, the seller will purchase or substitute the loan, unless the seller concludes thedefault was the result of a servicing issue that has since been corrected.

The seller must appropriately remedy any ensuing R&W breach if it has a materially adverseimpact on the loan by curing the breach, repurchasing the mortgage loan at the repurchase price,or substituting for the mortgage loan, including paying any required substitution adjustmentamount. The enforcement mechanism for R&W breaches includes provisions for a breach reviewat the option of the controlling holder either by a third-party due diligence firm or by thecontrolling holder itself for any loan that experiences a realized loss. A review is mandatory onlyfor an ATR-related realized loss. Dispute resolutions are ultimately subject to arbitrationproceedings, if necessary, to determine if a breach occurred. For successful repurchase claims,reasonably incurred costs and expenses related to the breach enforcement framework will beincorporated into the repurchase price. For unsuccessful repurchase claims, reasonably incurredcosts and expenses, including an equal share of the arbitration costs, will ultimately be borne tothe trust in the form of extraordinary trust expenses subject to the yearly cap. If the seller refusesto comply with the arbitrator's determination, the trustee can bring legal action but only whendirected by a majority of certificateholders. Moreover, it is not required to proceed with any legalaction unless it obtains, in advance, funds to pay any fees. This provision weakens the frameworkbecause it creates additional steps that would be needed to address the seller's refusal to complywith the arbitrator's determination.

Although the MOA's result reflects what is, in our opinion, a solid aggregation platform, the partywith potentially limited repurchasing ability is providing R&Ws. Therefore, we applied a 1.10x losscoverage adjustment to compensate for the risk associated with the financial capacities of theR&W provider. We believe this adjustment is appropriate in the context of the due diligenceperformed on the loans and the collateral's credit quality.



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Cash Flow And Scenario Analysis

We reviewed the transaction structure and performed a cash flow analysis to simulate variousrating stress scenarios (see table 11) to determine the ratings for each class consistent with ourcriteria, accounting for the available credit enhancement. We analyzed various scenarios for eachrating category/level, including combinations of:

- Front and back-loaded default timing curves;

- Two-year recovery lag assumptions;

- Fast and slow prepayment assumptions; and

- High, low, and forward interest rate curve assumptions.

Due to the limited P&I advance obligation, we did not apply our typical servicer stop advancestresses. Instead, we assumed that no P&I advances were being made in our cash flowprojections. This assumption results in no projected monthly cash flows on defaulted loans thathave not yet been liquidated (we assume a 24-month lag between default and liquidation). Ourcash flow projections take into account this additional liquidity stress and the transaction's abilityto make monthly interest payments and, if necessary, deferred interest payments (interestcarryforward amounts) by the final maturity date on the rated classes.

Table 11

Cash Flow Assumptions

Scenario

'AAA' 'AA' 'A' 'BBB' 'BB' 'B'

Recovery lag (mos.) 24 24 24 24 24 24

Prepayments (%)(i)

Low CPR 1 2 3 4 5 6

High CPR 20 20 20 20 20 20

Servicer stop advance (%) N/A N/A N/A N/A N/A N/A

Foreclosure frequency (%) 43.86 37.95 29.96 22.11 14.76 7.56

Loss severity (%) 55.75 50.86 41.22 35.50 30.83 26.46

Loss coverage (%) 24.45 19.30 12.35 7.85 4.55 2.00

(i)Using a standard prepayment convention. CPR--Conditional prepayment rate. N/A—Not applicable

We applied the foreclosure frequencies, loss severities, and combinations of the stresses notedabove in our cash flow runs, and observed some periodic missed interest due to the liquidity stressassociated with no advancing. To pass our applicable rating-specific stresses, the interestdeferrals (or interest carry-forward amounts) resulting from any missed interest payments on thesecurities have to be paid in full by the maturity date. All deferred interest was paid back withinterest under the applicable rating-specific stresses in our cash flow projections. The resultsshow that each rated class in the transaction is enhanced to a degree consistent with theassigned ratings.

To pass our applicable rating-specific stresses, the class A-1 and A-2 certificates requiresignificantly more credit enhancement than our loss coverage projection, at the applicable ratingcategory (see table 12). The observed differences are due to a combination of structural features,



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such as initial pro rata principal payments among the senior classes, as well as collateral andcash flow assumptions, such as loss severities above 50% and high prepayment speeds applied toperforming balances throughout the entire transaction. Conversely, the class A-3, M-1, B-1, andB-2 certificates require approximately equal or less credit enhancement than our loss coverageprojection, at the applicable rating category. The observed structural support provided for theseclasses is primarily due to the sequential principal payment priority among subordinate classescombined with excess spread that preserves subordination.

Table 12

Structural Assessment

Class RatingInitial class

size (%)Initial credit

enhancement (%)Loss Coverage

(%)Percentage point difference between credit

enhancement and loss coverage

A-1 AAA (sf) 67.75 32.25 24.45 7.8

A-2 AA (sf) 7.40 24.85 19.30 5.55

A-3 A (sf) 12.85 12.00 12.35 (0.35)

M-1 BBB(sf)

5.45 6.55 7.85 (1.3)

B-1 BB (sf) 3.35 3.20 4.55 (1.35)

B-2 B (sf) 2.30 0.90 2.00 (1.1)

B-3 NR 0.90 0.00 N/A N/A

WAC deterioration stress

To address the potential for a pool's WAC to decline over time as higher coupon loans prepay ordefault, we stress the pool's projected cash flows by reducing the interest accrued on the assets.Where appropriate, we review the distribution of loan coupons in the pool based on measures suchas the standard deviation, interquartile range, and maximum/minimum ranges to assess thepool's homogeneity with respect to loan coupons.

Generally, the stress is based on the pool's WAC at the time of analysis versus 10 years later basedon an assumed reduction in pool balance of 10% per year applied to the loans with the highestcoupons. This WAC difference is the maximum WAC deterioration assumed for the pool. The stressapplied starts at 0 in the transaction's first month and increases linearly each month to themaximum through year 10, at which point it remains constant at the maximum through the deal'sremaining life. This stress is applied in all cash flow stress scenarios at all rating levels. For thismortgage pool, the original WAC is 6.35%, and the WAC, 10 years later based on our assumptionsabove, is 5.33%, resulting in a maximum WAC deterioration of 1.02% for this pool.

Interest stresses

In this transaction, extraordinary trust expense payments reduce the net WAC rate, whicheffectively allocates the extraordinary trust expenses pro rata across all senior and subordinatecertificate holders by reducing their interest payments by the amount of the extraordinary trustexpenses paid (subject to the annual cap). Although the extraordinary expenses are passedthrough as reduced contractual interest due to certificateholders, we ran these expenses at their

capped amounts to test any impact on the securities. We tested this because the securitiesdepend on excess spread as a form of credit enhancement, the presence of certain structural



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features such as limited P&I advancing, and deferrable interest payments on the securities.

Imputed Promises Analysis

When rating U.S. RMBS transactions where credit-related events can reduce interest owed to thetranches across the capital structure rather than an allocation of the credit-related loss to theavailable credit support, we impute the interest owed to the certificateholders. WAC deteriorationthat occurs because of defaults, repurchases, or prepayments is not considered credit relatedand, therefore, was not considered as part of this analysis.

Because this transaction provides for credit-related loan modifications and extraordinary trustexpenses to reduce the net WAC, at which the transaction's bond coupons are capped, we appliedthe approach outlined in the criteria to assess the maximum potential rating (MPR) that couldapply based on our projected interest reduction amount (PIRA). As this is a new issue transaction,we did not account for any cumulative interest reduction amount.

We assumed that 50% of the loans projected to default would be modified, which, when added tothe extraordinary trust expenses, resulted in a maximum PIRA on the rated certificates that issignificantly below the 4.5% threshold. We stressed extraordinary trust expenses by the relevantextraordinary expense application factor for four years, from payment period 13 to 60. Based onthe results of our analysis, there was no impact on the MPR on the securities.

Historically, we have observed that extraordinary trust expenses have been minimal when theyoccur and have been extremely limited in pre-2009 RMBS transactions. We continue to expecttheir actual occurrence in post-2009 transactions to be rare.

Operational risk assessment

Our criteria "Global Framework For Assessing Operational Risk In Structured FinanceTransactions," published Oct. 9, 2014, present our methodology and assumptions for assessingcertain operational risks (severity, portability, and disruption risks) associated with asset typesand key transaction parties (KTPs) that provide an essential service to a structured finance issuer.According to the criteria, we cap the ratings on a transaction if we believe operational risk couldlead to credit instability and affect the ratings.

As provided in the operational risk criteria, for severity risk and portability risk, there are threepossible rankings: "high," "moderate," or "low." For disruption risk, there are four possiblerankings: "very high," "high," "moderate," or "low." The rankings for each of the three risksdetermine the maximum potential rating that can be assigned to a structured finance security fora given KTP before giving consideration to any provisions for a backup KTP, such as a masterservicer. After assessing the severity, portability, and disruption risks for the servicer, wedetermined the ratings on these classes would not be affected.

According to our criteria, we rank severity and portability risk for nonprime residential mortgagecollateral as moderate and low, respectively. For SGRMT 2019-3, the servicer, Select PortfolioServicing Inc. (SPS), is the KTP. We consider the disruption risk for SPS as low. Given these riskassessments, our criteria does not cap the ratings on the transaction.



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Related Criteria

- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation AndSpecial-Purpose Entity Criteria, May 15, 2019

- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating StructuredFinance Securities: Methodology And Assumptions, Jan. 30, 2019

- Criteria - Structured Finance - RMBS: Assumptions Supplement For Methodology AndAssumptions For Rating U.S. RMBS Issued 2009 And Later, Feb. 22, 2018

- Criteria | Structured Finance | RMBS: U.S. Residential Mortgage Operational AssessmentRanking Criteria, Feb. 22, 2018

- Criteria | Structured Finance | RMBS: Methodology And Assumptions For Rating U.S. RMBSIssued 2009 And Later, Feb. 22, 2018

- General Criteria: Methodology For Linking Long-Term And Short-Term Ratings, April 7, 2017

- Criteria | Structured Finance | General: Structured Finance Temporary Interest ShortfallMethodology, Dec. 15, 2015

- General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014

- Criteria - Structured Finance - General: Global Framework For Cash Flow Analysis OfStructured Finance Securities, Oct. 9, 2014

- Criteria - Structured Finance - General: Criteria Methodology Applied To Fees, Expenses, AndIndemnifications, July 12, 2012

- General Criteria: Global Investment Criteria For Temporary Investments In TransactionAccounts, May 31, 2012

- Criteria | Structured Finance | RMBS: U.S. Interest Rate Assumptions Revised For May 2012 AndThereafter, April 30, 2012

- Criteria | Structured Finance | General: Methodology For Servicer Risk Assessment, May 28,2009

Related Research

- Select Servicer List, Sept. 13, 2019

- Credit Rating Model: LEVELS Model For U.S. Residential Mortgage Loans, Aug. 5, 2019

- S&P Global Ratings Publishes List Of Third-Party Due Diligence Firms Reviewed For U.S. RMBSAs Of Aug. 5, 2019, Aug. 5, 2019

- S&P Global Ratings Definitions, July 5, 2019

- For The U.S. Expansion, Are Trade Troubles "Just A Flesh Wound"?, June 25, 2019

- Servicer Evaluation: Nationstar Mortgage LLC, June 6, 2019

- Key Factors For Assessing U.S. Non-Qualified Mortgage Bank Statement Loans, April 10, 2019

- Servicer Evaluation: Select Portfolio Servicing Inc., Dec. 21, 2018

- U.S. Residential Mortgage Input File Format For LEVELS, March 30, 2018



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- Credit Rating Model: Intex RMBS Cash Flow Model, April 7, 2017

- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top FiveMacroeconomic Factors, Dec. 16, 2016

- Cox Ingersoll Ross (CIR) For U.S. RMBS And ABS, Dec. 13, 2016

- Standard & Poor's Comfortable With SFIG Draft Proposal Regarding TRID Due Diligence, April25, 2016

- Older RMBS Transactions Face Increased Tail Risk As Their Pools Shrink, Aug. 9, 2012

In addition to the criteria specific to this type of security (listed above), the following criteriaarticles, which are generally applicable to all ratings, may have affected this rating action:"Counterparty Risk Framework: Methodology And Assumptions," March 8, 2019; "Post-DefaultRatings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23,2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions,"Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D'And 'SD' Ratings," Oct. 24, 2013; "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings,"Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch AndOutlooks," Sept. 14, 2009.



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