NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) affirmed all of its outstanding ratings for the WFRR 2012-IO transaction, a re-securitization of CMBS interest only (IO) certificates.
The source of payment for the rated securities is diverse, and includes 104 IO securities from 97 different CMBS securitizations of fixed rate loans that were issued between 1997 and 2012. The collateral securities have a current aggregate notional balance of $14.6 billion and generate lifetime cash flow of $291 million in KBRA’s baseline scenario. None of the collateral securities contribute more than 5.6% to KBRA lifetime baseline cash flow, and the ten largest contributors represent 44.9%. The collateral securities represent a diverse mix of IO security types including WAC, Senior WAC, Subordinate WAC, Support, PAC, and Fixed Interest Strips. For individual certificate ratings, please see the list below.
The transaction has exhibited stable performance since issuance. The surveillance review was conducted using the methodology employed at securitization with data available as of the July 2013 remittance report. 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 underlying IO collateral securities. Under each scenario, the cash flows from each individual IO security were aggregated, and applied to the transaction structure. If there were sufficient proceeds to pay senior trust expenses and timely interest to the rated securities in each payment period, as well as pay the entire principal balance on or before the final stated maturity date, the scenario was deemed to have passed. This occurred in all of the scenarios we considered in reviewing the ratings. The methodology is located in the KBRA Process and Methodology Section of the following publication: Wells Fargo Resecuritization Trust 2012-IO Pre-Sale Report.
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