Kroll Bond Rating Agency Assigns Preliminary Ratings to Fannie Mae’s Connecticut Avenue Securities, Series 2017-C02 (CAS 2017-C02)

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 47 classes from Fannie Mae’s Connecticut Avenue Securities, Series 2017-C02 (CAS 2017-C02), a credit risk sharing transaction with a total note offering of $1,329,614,000. CAS 2017-C02 is Fannie Mae’s 18th risk transfer deal under the CAS shelf, as well as the tenth 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 2017-C02 Reference Pool.

The CAS 2017-C02 Reference Pool consists of 170,672 residential mortgages with an aggregate cut-off balance of approximately $40.0 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 92.13% and 92.15%, respectively, with approximately 0.3% of the loans possessing known subordinate financing at origination. The borrowers in the CAS 2017-C02 Reference Pool have a WA credit score of 746 and a WA debt-to-income (DTI) ratio of 34.6%.

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 2017-C02, which was published on March 13, 2017 at www.kbra.com.

Related Publications: (available at www.kbra.com)
CAS 2017-C02 Pre-Sale Report
U.S. RMBS Rating Methodology, published July 7, 2016
Residential Mortgage Default and Loss Model, published January 16, 2015

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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 Contacts:
Kroll Bond Rating Agency
Patrick Gervais, 646-731-2426
Senior Director
pgervais@kbra.com
or
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Steve McCarthy, 646-731-2343
Senior 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

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Patrick Gervais, 646-731-2426
Senior Director
pgervais@kbra.com
or
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Steve McCarthy, 646-731-2343
Senior 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