NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 94 classes from Fannie Mae’s Connecticut Avenue Securities, Series 2017-C07 (CAS 2017-C07), a credit risk sharing transaction with a total note offering of $1,160,883,000. CAS 2017-C07 is Fannie Mae’s 23rd risk transfer deal under the CAS shelf, as well as the 15th 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-C07 Reference Pool.
The aggregate CAS 2017-C07 Reference Pool consists of 144,779 residential mortgage loans with an aggregate cut-off balance of approximately $34.0 billion. The loans in the Reference Pool (Reference Obligations) are fully-documented, fully-amortizing fixed-rate mortgages (FRMs) of prime quality. The Reference Pool is divided into two individual loan groups (Loan Group 1 and Loan Group 2) based on original loan-to-value (LTV).
Loan Group 1 comprises 88,483 mortgages with an aggregate cut-off date balance of approximately $20.6 billion. The pool is characterized by loans with LTV ratios that are greater than 60% and less than or equal to 80%. The pool’s weighted average (WA) LTV equals 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 Loan Group 1 have a WA original credit score of 744 and a WA debt-to-income (DTI) ratio of 35.1%.
Loan Group 2 consists of 56,296 mortgages with an aggregate cut-off date balance of approximately $13.3 billion. The pool is characterized by loans with LTV ratios that are greater than 80% and less than or equal to 97%. The pool’s WA original LTV equals 92.5%. Approximately 0.4% of the loans possessed subordinate financing at origination, contributing to the pool’s WA original CLTV ratio of 92.6%. The borrowers in Loan Group 2 have a WA original credit score of 744 and a WA DTI ratio of 35.6%.
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.
Related Publications: (available at www.kbra.com)
- CAS 2017-C07 Pre-Sale Report Tear Sheet
- Residential Mortgage Default and Loss Model
- U.S. RMBS Rating Methodology
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