Kroll Bond Rating Agency Assigns Final Ratings to STRIPs, Series 2012-1

NEW YORK--(BUSINESS WIRE)--

Kroll Bond Rating Agency assigned its final ratings to 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). Concurrently, we have withdrawn our preliminary ratings, which were assigned on November 19, 2012.

The process and methodology to rate this transaction 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, including a baseline scenario. 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.

The collateral securities underlying this transaction 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. All of the collateral securities were issued between 2003 and 2012. The aggregate current notional balance of the collateral securities held by the trust is $15.5 billion, and the cumulative cash flow from the collateral under the baseline scenario as of the cutoff date was $336.8 million.

Final Ratings Assigned: Strips 2012-1

Class

Rating

Balance (USD)

Rating Action

A

AAA (sf)

$248,000,000

Assigned

B

BBB- (sf)

$31,500,000

Assigned

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.