NEW YORK--(STRIPs, Series 2012-1, a re-securitization of 64 commercial and multi-family interest only (IO) certificates from 61 different securitizations of fixed-rate loans (see ratings listed below).)--Kroll Bond Rating Agency (KBRA) is pleased to announce the assignment of preliminary ratings to the
The underlying collateral securities include 27 CMBS 1.0 IO certificates (issued before 2009), 20 CMBS 2.0/3.0 IO certificates, 16 Ginnie Mae (GNMA) IO certificates, and one Fannie Mae (FNMA) IO certificate. Payment on the rated notes is entirely dependent on the interest payments generated by the collateral securities, which have no principal balance. As such, KBRA stressed the expected future payment stream of the collateral securities under multiple scenarios, including a baseline scenario. These scenarios incorporated various assumptions regarding the default, loss, and recovery period of the loans underlying the trusts that issued the collateral securities. Under KBRA’s baseline scenario, the estimated cash flow generated by the collateral securities throughout the life of the transaction was $345 million (KBRA’s baseline cash flow). All of the collateral securities were issued between 2003 and 2012. The majority of KBRA’s baseline cash flow is represented by the 2011 (38.3%), 2012 (22.8%), and 2006 vintages (10.2%), and no single security accounts for more than 9.1%. The respective contribution to KBRA’s baseline cash flow by transaction type is as follows: CMBS (75.3%), GNMA (23.4%) and FNMA (1.30%).
The process and methodology incorporated a “ground-up” approach that considered the unique characteristics of each of the underlying mortgage loans and the performance of the individual properties that secure the related underlying trusts associated with the collateral securities. Different sets of scenarios were performed to determine the ability of Class A and Class B notes to withstand changes in the cash flow stream generated by the collateral securities. Under each scenario, the cash flows from each collateral security were aggregated, and applied to the transaction structure. If there were sufficient proceeds to pay senior trust expenses and interest and entire principal to the rated securities pursuant to the transaction’s waterfall, the scenario was deemed to have passed.
For complete details on the analysis, please see our presale report, STRIPs Series 2012-1 Pre-Sale Report, published today at www.krollbondratings.com.
The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.
Preliminary Ratings Assigned: WFRR 2012-IO
|Class||Expected Rating||Balance (US$)|
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report entitled CMBS: STRIPs 2012-1 17g-7 Disclosure Report.
About Kroll Bond Rating Agency
Kroll Bond Rating Agency, Inc. (www.krollbondratings.com) is registered with the SEC as a nationally recognized statistical rating organization (NRSRO). Kroll Bond Rating Agency was established in 2010 to restore trust in credit ratings by establishing new standards for assessing risk and by offering accurate, clear, and transparent ratings.