Kroll Bond Rating Agency Assigns Preliminary Ratings to Freddie Mac STACR 2016-DNA4

NEW YORK--()--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-DNA4 (STACR 2016-DNA4), a credit risk sharing transaction with a total note offering of $739,000,000. STACR 2016-DNA4 represents Freddie Mac’s 24th risk transfer deal under the STACR shelf, as well as the seventh in its actual loss ‘DNA’ series that features loans with loan-to-value (LTV) ratios greater than 60%, but less than or equal to 80%. The Offered Notes represent unsecured general obligations of Freddie Mac, with payments subject to the credit and principal payment risks of the STACR 2016-DNA4 Reference Pool.

The STACR 2016-DNA4 Reference Pool consists of 106,116 residential mortgage loans with an aggregate cut-off balance of approximately $24.8 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 60% and less than or equal to 80%, with a weighted average (WA) LTV of 75.3%. Approximately 5.5 % of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 76.0%. The borrowers in the STACR 2016-DNA4 Reference Pool have a WA credit score of 748 and a WA debt-to-income (DTI) ratio of 34.6%.

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.

For complete details on the analysis, please see our Pre-Sale Report, STACR 2016-DNA4, which was published on September 22, 2016 at www.kbra.com.

Related Publications:

STACR 2016-DNA4 Pre-Sale Report, published September 22, 2016

U.S. RMBS Rating Methodology, published July 7, 2016

Residential Mortgage Default and Loss Model, published January 16, 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
Gary Narvaez, 646-731-2478
gnarvaez@kbra.com
or
Patrick Gervais, 646-731-2426
pgervais@kbra.com
or
Steve McCarthy, 646-731-2343
smccarthy@kbra.com
or
Jack Kahan, 646-731-2486
jkahan@kbra.com

Contacts

Analytical:
Kroll Bond Rating Agency
Gary Narvaez, 646-731-2478
gnarvaez@kbra.com
or
Patrick Gervais, 646-731-2426
pgervais@kbra.com
or
Steve McCarthy, 646-731-2343
smccarthy@kbra.com
or
Jack Kahan, 646-731-2486
jkahan@kbra.com