Kroll Bond Rating Agency Assigns Preliminary Ratings to Fannie Mae’s Connecticut Avenue Securities, Series 2016-C07 (CAS 2016-C07)

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to nine classes from Fannie Mae’s Connecticut Avenue Securities, Series 2016-C07 (CAS 2016-C07), a credit risk sharing transaction with a total note offering of $701,681,000. CAS 2016-C07 is Fannie Mae’s 16th risk transfer deal under the CAS shelf, as well as the eighth CAS issuance featuring an actual loss framework. The Offered Notes represent unsecured general obligations of Fannie Mae, with payments subject to the credit and principal payment risks of the CAS 2016-C07 Reference Pool.

The CAS 2016-C07 Reference Pool consists of 96,747 residential mortgages with an aggregate cut-off balance of approximately $22.5 billion. The loans in the Reference Pool (Reference Obligations) are fully-documented, fully-amortizing fixed-rate mortgages (FRMs) of prime quality. The Reference Obligations are characterized by original loan-to-value (LTV) ratios that are greater than 80%, but less than or equal to 97%. The pool’s weighted average (WA) LTV and WA combined loan-to-value (CLTV) ratios are 92.0% and 92.1%, respectively, with approximately 0.4% of the loans possessing known subordinate financing at origination. The borrowers in the CAS 2016-C07 Reference Pool have a WA credit score of 744 and a WA debt-to-income (DTI) ratio of 34.9%.

KBRA’s analysis of the transaction included a loan-level analysis of the mortgage pool using our Residential Mortgage Default and Loss Model, an examination of the results from loan file due diligence performed by an independent third-party review 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, Connecticut Avenue Securities, Series 2016-C07, which was published on November 29, 2016 at www.kbra.com.

Related Publications: (available at www.kbra.com)

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

Kroll Bond Rating Agency
Analytical Contacts:
Patrick Gervais, 646-731-2426
Director
pgervais@kbra.com
or
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Steve McCarthy, 646-731-2343
Director
smccarthy@kbra.com
or
Kristymarie Cariello, 646-731-2494
Director
kcariello@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com
or
Follow us on Twitter!
@KrollBondRating

Contacts

Kroll Bond Rating Agency
Analytical Contacts:
Patrick Gervais, 646-731-2426
Director
pgervais@kbra.com
or
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Steve McCarthy, 646-731-2343
Director
smccarthy@kbra.com
or
Kristymarie Cariello, 646-731-2494
Director
kcariello@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com
or
Follow us on Twitter!
@KrollBondRating