DBRS Morningstar Assigns Provisional Ratings to Wells Fargo Mortgage Backed Securities 2021-2 Trust.

ENPNewswire-September 10, 2021--DBRS Morningstar Assigns Provisional Ratings to Wells Fargo Mortgage Backed Securities 2021-2 Trust

(C)2021 ENPublishing - http://www.enpublishing.co.uk

Release date- 09092021 - DBRS, Inc. (DBRS Morningstar) assigned the following provisional ratings to the Mortgage Pass-Through Certificates, Series 2021-2 (the Certificates) to be issued by Wells Fargo Mortgage Backed Securities 2021-2 Trust (WFMBS 2021-2 or the Trust).

$547.8 million Class A-1 at AAA (sf)

$547.8 million Class A-2 at AAA (sf)

$410.8 million Class A-3 at AAA (sf)

$410.8 million Class A-4 at AAA (sf)

$136.9 million Class A-5 at AAA (sf)

$136.9 million Class A-6 at AAA (sf)

$328.7 million Class A-7 at AAA (sf)

$328.7 million Class A-8 at AAA (sf)

$219.1 million Class A-9 at AAA (sf)

$219.1 million Class A-10 at AAA (sf)

$82.2 million Class A-11 at AAA (sf)

$82.2 million Class A-12 at AAA (sf)

$89.0 million Class A-13 at AAA (sf)

$89.0 million Class A-14 at AAA (sf)

$47.9 million Class A-15 at AAA (sf)

$47.9 million Class A-16 at AAA (sf)

$64.5 million Class A-17 at AAA (sf)

$64.5 million Class A-18 at AAA (sf)

$612.3 million Class A-19 at AAA (sf)

$612.3 million Class A-20 at AAA (sf)

$612.3 million Class A-IO1 at AAA (sf)

$547.8 million Class A-IO2 at AAA (sf)

$410.8 million Class A-IO3 at AAA (sf)

$136.9 million Class A-IO4 at AAA (sf)

$328.7 million Class A-IO5 at AAA (sf)

$219.1 million Class A-IO6 at AAA (sf)

$82.2 million Class A-IO7 at AAA (sf)

$89.0 million Class A-IO8 at AAA (sf)

$47.9 million Class A-IO9 at AAA (sf)

$64.5 million Class A-IO10 at AAA (sf)

$612.3 million Class A-IO11 at AAA (sf)

$13.9 million Class B-1 at AA (sf)

$7.7 million Class B-2 at A (sf)

$4.2 million Class B-3 at BBB (sf)

$2.6 million Class B-4 at BB (low) (sf)

$967.0 thousand Class B-5 at B (sf)

Classes A-IO1, A-IO2, A-IO3, A-IO4, A-IO5, A-IO6, A-IO7, A-IO8, A-IO9, A-IO10, and A-IO11 are interest-only certificates. The class balances represent notional amounts.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-9, A-10, A-11, A-13, A-15, A-17, A-19, A-20, A-IO2, A-IO3, A-IO4, A-IO6, and A-IO11 are exchangeable certificates. These classes can be exchanged for combinations of initial exchangeable certificates as specified in the offering documents.

Classes A-1, A-2, A-3, A-4, A-5, A-6, A-7, A-8, A-9, A-10, A-11, A-12, A-13, A-14, A-15, and A-16 are super-senior certificates. These classes benefit from additional protection from senior support certificates (Classes A-17 and A-18) with respect to loss allocation.

The AAA (sf) ratings on the Certificates reflect 5.00% of credit enhancement provided by subordinated certificates. The AA (sf), A (sf), BBB (sf), BB (low) (sf), and B (sf) ratings reflect 2.85%, 1.65%, 1.00%, 0.60%, and 0.45% of credit enhancement, respectively.

Other than the specified classes above, DBRS Morningstar does not rate any other classes in this transaction.

The Trust is a securitization of a portfolio of first-lien fixed-rate prime residential mortgages funded by the issuance of the Certificates. The Certificates are backed by 955 loans with a total principal balance of $644,485,820 as of the Cut-Off Date (September 1, 2021).

The pool consists of fully amortizing fixed-rate mortgages with original terms to maturity of 30 years and a weighted-average loan age of five months. In contrast to prior DBRS Morningstar-rated WFMBS prime transactions, WFMBS 2021-2 mostly comprises conforming mortgages (99.2% of the pool), which were underwritten using an automated underwriting system designated by Fannie Mae or Freddie Mac and were eligible for purchase...

To continue reading

Request your trial

VLEX uses login cookies to provide you with a better browsing experience. If you click on 'Accept' or continue browsing this site we consider that you accept our cookie policy. ACCEPT