Kroll Bond Rating Agency Assigns Preliminary Ratings to LVII Resecuritization Trust 2015-A (LVII 2015-A)

NEW YORK--(BUSINESS WIRE)-- Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to one class of notes from LVII Resecuritization Trust 2015-A, a re-REMIC backed by rights to receive “intrinsic” cash flows on 17 underlying mortgage-backed bonds. The underlying bonds are insured by Ambac Assurance Corporation (“Ambac”). The Depositor, LVII Asset Trust 2015-A, will collect all distributions made by the underlying RMBS, comprising both “intrinsic” mortgage principal and interest (P&I) payments, based on the credit of the underlying mortgage loans, as well as policy-related amounts to or from Ambac. The rights to these total distributions will be bifurcated by the Asset Trust, with the right to receive P&I payments going to the Class A certificate of the Asset Trust and the right to receive policy-related payments going to the Class X certificate. The Class A certificate will then be issued to LVII Resecuritization Trust 2015-A, which will in turn issue the Class A Notes. Kroll Bond Rating Agency (KBRA) expects to rate the Class A Notes ‘A-(sf)'.

The 17 underlying bonds were issued from 12 RMBS transactions between 2002 and 2007. Two of the underlying transactions are collateralized by older-vintage Option-ARMs, each with weighted average (“WA”) current CLTVs below 80%. The trust also includes bonds from two subprime mortgage transactions issued in 2002 and 2004 with estimated WA current CLTVs that are notably lower than 80%. The remaining eight underlying transactions are all backed by Alt-A mortgages, typically characterized by limited income/asset/employment documentation and significant underperformance. The top three underlying bonds by outstanding principal balance are the IMSA 2006-3 Class A-1, IMHE 2005-7 Class A-1, and LXS 2007-14H Class A2-2 which represent 30.2%, 13.7%, and 13.3% of the transaction’s collateral, respectively.

KBRA’s rating approach incorporated loan-level analysis of the related underlying mortgage pools of the underlying bonds through its Residential Mortgage Default and Loss Model, historical credit performance of the underlying mortgage pools, cash flow modeling analysis of the transaction’s payment structure, and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.

For complete details on the analysis, please see our Pre-Sale Report, LVII Resecuritization Trust 2015-A, which was published on July 21, 2015 at www.kbra.com.

Related publications:

Residential Mortgage Default and Loss Model, published January 16, 2015

U.S. RMBS Rating Methodology, published January 9, 2012

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

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Analytical:
Kroll Bond Rating Agency
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Source: Kroll Bond Rating Agency

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