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PRESS RELEASE from provider: Business Wire
This content is a press release from our partner Business Wire. The AP newsroom and editorial departments were not involved in its creation.

KBRA Publishes RMBS Research: Evaluating Prime 2.0 Subordinate Liquidity Risk in Slow CPR Scenarios

February 22, 2019

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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About KBRA and KBRA Europe

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.

View source version on businesswire.com:https://www.businesswire.com/news/home/20190222005041/en/

CONTACT: Analytical:

Ryon Aguirre, Associate Director

(646) 731-2382

raguirre@kbra.comJack Kahan, Managing Director

(646) 731-2486

jkahan@kbra.comEd DeVito, Senior Director

(646) 731-2319

edevito@kbra.com

KEYWORD: UNITED STATES NORTH AMERICA NEW YORK

INDUSTRY KEYWORD: PROFESSIONAL SERVICES BANKING FINANCE

SOURCE: Kroll Bond Rating Agency

Copyright Business Wire 2019.

PUB: 02/22/2019 08:30 AM/DISC: 02/22/2019 08:30 AM

http://www.businesswire.com/news/home/20190222005041/en