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
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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...
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