The $550,462,191 deal is backed by loans with a weighted average first-lien loan-to-value ratio of 69.7% and a combined first- and junior-lien loan-to-value ratio of 70.6%. Merrill Lynch is named as the lead manager for the deal.
“These low ratios exhibit a substantial margin of safety against potential home price declines,” Kroll said in its report. “However, it should be noted that these are the higher WA LTV and WA CLTV ratios seen in a pool rated by KBRA.”
Top originators contributing to the deal are AmeriSave (13.1%), Guaranteed Rate (9.6%), JMAC (8.2%), PRMG (6.3%), RPM (6.2%), Cobalt (6%) and George Mason (5.4%). Geographically, the higher state concentration is found in California (56.5%), the largest loan in the pool is $1.96 million.
Kroll assigned an expected AAA(sf) rating to six classes of exchangeable certificates in the transaction, two of which have 7.75% credit enhancement. It also assigned investment grade expected ratings of AA(sf), A(sf) and BBB(sf) to three tranches, which, respectively, have 5.2%, 3.45% and 2.45% CE.
One class with 1.4% CE received a speculative grade BB(sf) rating and two classes did not receive ratings from Kroll.
The transaction, which will be services by PennyMac, lacks a master servicer.
“In most RMBS transactions, upon a servicer default a master servicer generally steps in to facilitate the continuity of critical servicing functions such as loss mitigation and advancing of principal and interest,” Kroll noted in the presale report. “To mitigate concerns regarding the lack of a master servicer, Citibank NA, as fiscal agent, will be required to make any P&I advance due if the servicer fails to fund such advance.”
