DBRS Assigns Provisional Ratings to Selkirk No. 2 - Limited

DBRS has today assigned provisional ratings to the following class of Selkirk No. 2 Trust Commercial Pass-Through Certificate (the Certificate), to be issued by Selkirk No. 2 - Limited. The trend is Stable.

-- Class A at AAA (sf)

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

The collateral consists of 40 seasoned, fixed-rate loans with a $452.7 current transaction balance, secured by 57 commercial and multifamily properties. The loans were originated by The Variable Annuity Life Insurance Company (VALIC), a life insurance company with strong origination practices, and have an average seasoning of 73 months. None of the loans were delinquent during the recent economic recession, demonstrating the financial strength of the underlying assets. The DBRS sample included 19 of the 40 loans, representing 70.1% of the total pool by allocated loan balance. All loans within the transaction are amortizing, resulting in 24.6% amortization over the remaining loan term, which is unique and markedly 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. Additionally, the pool has a high concentration of properties located in urban markets (29.1% of the pool), which benefit from a larger investor, consumer, and tenant base, even in times of stress.

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 -19.8%, ranging between +7.8% and -68.7%, which is substantially greater than other recently rated DBRS conduit transactions. The pool is concentrated by loan size and location, with the top ten loans representing 53.6% of the pool, and four loans, comprising 20.2% of the pool, located in New York City. As a result, the pool exhibits a concentration level similar to 24 equal-sized loans. Considering transactions with higher levels of concentration by loan size are more susceptible to event risk, DBRS applied a probability of default penalty to the entire pool.

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