NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 9 classes of notes from Freddie Mac’s Structured Agency Credit Risk (STACR) Debt Notes, Series 2016-HQA2 (STACR 2016-HQA2), a credit risk sharing transaction with a total note offering of $627,000,000. STACR 2016-HQA2 represents Freddie Mac’s 21st risk transfer deal under the STACR shelf, as well as the fourth in its actual loss ‘HQA’ series that features loans with loan-to-value (LTV) ratios greater than 80%, but less than or equal to 95%. The Offered Notes represent unsecured general obligations of Freddie Mac, with payments subject to the credit and principal payment risks of the STACR 2016-HQA2 Reference Pool.
The STACR 2016-HQA2 Reference Pool consists of 80,001 residential mortgage loans with an aggregate cut-off balance of approximately $18.5 billion. The loans in the Reference Pool (Reference Obligations) are fully-documented, fully-amortizing fixed-rate mortgages (FRMs) of prime quality. As mentioned, the pool is characterized by loans with LTV ratios that are greater than 80% and less than or equal to 95%, with the weighted average (WA) LTV equal to 91.96%. Approximately 0.18% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 91.97%. The borrowers in the STACR 2016-HQA2 Reference Pool have a WA credit score of 749 and a WA debt-to-income (DTI) ratio of 35.07%.
KBRA’s rating approach incorporated loan-level analysis of the reference pool through its Residential Mortgage Default and Loss Model, an examination of the results from loan file reviews performed by an independent third-party firm, cash flow modeling analysis of the transaction’s payment structure, reviews of key transaction parties and an assessment of the transaction’s legal structure and documentation. This analysis is further described in our U.S. RMBS Rating Methodology.
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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).