KBRA Publishes RMBS Research: Evaluating Prime 2.0 Subordinate Liquidity Risk in Slow CPR Scenarios
NEW YORK--(BUSINESS WIRE)--Feb 22, 2019--Kroll Bond Rating Agency (KBRA) takes an in-depth look at the prominent shifting-interest structural mechanism called the Applicable Credit Support Percentage (ACSP). The shifting-interest structure has been the predominant structure of choice for prime issuers and understanding its cash flow diversion mechanism is imperative to understanding the effect that various prepayment scenarios and liquidity stresses may have on bond performance.
In this commentary, we discuss how slowing prepayments can impact liquidity on subordinate classes in RMBS 2.0 shifting-interest structures, particularly those with stop advance features:
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KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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Ryon Aguirre, Associate Director
email@example.comJack Kahan, Managing Director
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KEYWORD: UNITED STATES NORTH AMERICA NEW YORK
INDUSTRY KEYWORD: PROFESSIONAL SERVICES BANKING FINANCE
SOURCE: Kroll Bond Rating Agency
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PUB: 02/22/2019 08:30 AM/DISC: 02/22/2019 08:30 AM