DBRS Assigns Provisional Ratings to Selkirk No. 1 - Limited

DBRS has today assigned provisional ratings to the following class of Selkirk No. 1 Trust Commercial Pass-Through Certificate (the Certificate), to be issued by Selkirk No. 1 - Limited. The trend is Stable.

-- Class A at AAA (sf)

Class A will be privately placed pursuant to Rule 144A.

The collateral consists of 55 seasoned, fixed-rate loans secured by 67 commercial and multifamily properties, comprising a total transaction balance of $920,360,998. The loans were originated by the American General Life Insurance Company (AGL), a life insurance company with strong origination practices and have an average seasoning of 71 months. None of the loans defaulted during the recent economic recession, demonstrating the financial strength of the underlying assets. The DBRS sample included 19 of the 55 loans, representing 54.8% of the total pool by allocated loan balance. The pool has a high concentration of amortizing loans (84.8% of the pool), resulting in 27.2% amortization over the remaining loan term, which is significantly higher than other recently rated DBRS conduit transactions. The pool also has a weighted-average interest rate of 6.07%, which is substantially greater than current rates, minimizing the individual loan’s refinance risk. The pool is also relatively diverse based on loan size, with the concentration level similar to a pool of 38 equal-sized loans and no loan representing more than 5.6% of the pool.

Due to the seasoned nature of the pool, YE2012 financial information and rent rolls were generally the most current information available and third-party reports were usually greater than 12 months old with dated market information. The resulting average DBRS net cash flow (NCF) haircut to the securitized NCF is -14.6%, which is considerably greater than other recently rated DBRS conduit transactions.
The ratings assigned to the Certificates by DBRS are based exclusively on the credit provided by the transaction structure and underlying trust assets. All classes will be subject to ongoing surveillance, which could result in upgrades or downgrades by DBRS after the date of issuance.

Notes:
All figures are in U.S. dollars unless otherwise noted.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The applicable methodology is CMBS Rating Methodology, which can be found on our website under Methodologies.

The Rule 17g-7 Report of Representations and Warranties is hereby incorporated by reference and can be found by clicking on the link to the right under Other Research or by contacting us at info@dbrs.com.