Kroll Bond Rating Agency Assigns Preliminary Ratings to STACR 2015-DNA2

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 11 classes of notes from Freddie Mac Structured Agency Credit Risk (STACR) 2015-DNA2, a risk transfer securitization comprising a $32.0 billion reference pool with 141,967 mortgages.

STACR 2015-DNA2 is the second credit risk transfer transaction featuring actual loss exposure issued by Freddie Mac this year. This is the fourth STACR transaction to be rated by KBRA. The reference pool has a weighted average (WA) FICO of 752, a WA loan-to-value (LTV) of 76%, and a WA combined loan-to-value (CLTV) of 77%.

KBRA’s analysis of the transaction included a loan-level analysis of the mortgage pools using our Residential Mortgage Default and Loss Model, together with a review of the key transaction parties, results of loan file reviews performed by independent third party firms and review of the legal structure and key documentation. This analysis is further described in our U.S. RMBS Rating Methodology.

For complete details on the analysis, please see our Pre-Sale Report, STACR 2015-DNA2, which was published on June 17, 2015 at www.kbra.com.

Related Reports:

STACR 2015-DNA2 Presale Report

Risk-Transfer Transaction Comparison Report

Mortgage Credit Trends: Freddie Mac vs. Prime Jumbo

U.S. RMBS Rating Methodology, published January 9, 2012

Residential Mortgage Default and Loss Model, published January 15, 2015

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Analytical:
Kroll Bond Rating Agency
Steve McCarthy, 646-731-2343
smccarthy@kbra.com
or
Patrick Gervais, 646-731-2426
pgervais@kbra.com
or
Andrew Giudici, 646-731-2372
agiudici@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency
Steve McCarthy, 646-731-2343
smccarthy@kbra.com
or
Patrick Gervais, 646-731-2426
pgervais@kbra.com
or
Andrew Giudici, 646-731-2372
agiudici@kbra.com