DBRS Assigns Ratings to the Senior Securities and Mezzanine Securities Issued by FirstKey Master Funding 2017-R1 Ltd.
Structured CreditDBRS, Inc. (DBRS) has today assigned the following ratings to the Class A1 Notes, the Class A2 Notes, the Class A3 Notes, the Class A4 Notes and the Class A5 US Combination Notes (collectively, the Senior Securities); as well as the Class M1 Notes, the Class M2 Notes, the Class M3 Notes, the Class A6 US Combination Notes, the Class A7 US Combination Notes and the Class M4 Combination Certificates (collectively, the Mezzanine Securities) of FirstKey Master Funding 2017-R1 Ltd. (the Issuer), as per the Indenture, Deed of Covenant and Fiscal Agency and Collateral Security Agreement dated as of March 31, 2017, among FirstKey Master Funding 2017-R1 Ltd., as Issuer; FirstKey Master Funding, LLC, as Depositor; and U.S. Bank National Association, as Indenture Trustee, Fiscal and Paying Agent, Collateral Agent and Securities Intermediary:
-- Class A1 Notes (33767LAA5) at AAA (sf)
-- Class A2 Notes (33767LAB3) at AA (sf)
-- Class A3 Notes (33767LAC1) at AA (sf)
-- Class A4 Notes (33767LAD9) at A (sf)
-- Class M1 Notes (33767LAE7) at BBB (sf)
-- Class M2 Notes (33767LAF4) at BB (sf)
-- Class M3 Notes (33767LAG2) at B (sf)
-- Class A5 US Combination Notes (33767LAN7) at AA (sf)
-- Class A6 US Combination Notes (33767LAP2) at BBB (sf)
-- Class A7 US Combination Notes (33767LAR8) at BBB (sf)
-- Class M4 Combination Certificates (33767LAQ0) at B (sf)
The ratings on the Senior Securities address the timely payment of interest and the ultimate payment of principal on or before the Legal Maturity Date (as defined in the Indenture and the Fiscal Agency and Collateral Security Agreement referred to above). The rating on the Mezzanine Securities address the ultimate payment of interest and the ultimate payment of principal on or before the Legal Maturity Date (as defined in the Indenture and the Fiscal Agency and Collateral Security Agreement referred to above).
The securities of FirstKey Master Funding 2017-R1 Ltd. are collateralized by the Class A-1b and the Class A-1v of West Coast Funding I, Ltd., which is itself collateralized by a pool of Prime and Alt-A residential mortgage-backed securities (RMBS).
The ratings reflect the following:
(1) The Indenture, Deed of Covenant and Fiscal Agency and Collateral Security Agreement dated as of March 31, 2017.
(2) The integrity of the transaction structure.
(3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.
Under the Indenture and the Fiscal Agency and Collateral Security Agreement, the date on which an Indenture Event of Default has occurred and is continuing and the US Notes have been accelerated pursuant to the terms of the Indenture or a Fiscal Agreement Event of Default has occurred and is continuing and the Cayman Securities have been accelerated pursuant to the terms of the Fiscal Agency and Collateral Security Agreement, all amounts in the Note Payment Account under the Indenture and the Securities Payment Account under the Fiscal Agency and Collateral Security Agreement will be paid, first, to the Issuing Entity, the Indenture Trustee, the Fiscal and Paying Agent, the Collateral Agent, the Securities Intermediary, the Administrator and the Cayman Administrator, pro rata, in respect of any unreimbursed Extraordinary Expenses owing to such entity (for this purpose, determined and reimbursable without giving effect to application of the Expense Cap). Thus, upon that occurrence, the ratings assigned to the securities may be subject to downgrades as a result of these additional uncapped expenses.
Notes:
All figures are in U.S. dollars unless otherwise noted.
The related regulatory disclosures pursuant to the National Instrument 25-101 Designated Rating Organizations are hereby incorporated by reference and can be found by clicking on the link to the right under Related Research or by contacting us at info@dbrs.com.
The principal methodology is Rating Structured Finance CDO Restructurings, which can be found on dbrs.com under Methodologies.
This rating is endorsed by DBRS Ratings Limited for use in the European Union.
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