KBRA Assigns Preliminary Ratings to Fannie Mae’s Connecticut Avenue Securities, Series 2017-C07 (CAS 2017-C07)

NEW YORK--()--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.

For complete details on the analysis, please see our pre-sale report, Connecticut Avenue Securities, Series 2017-C07, which was published on November 13, 2017 at www.kbra.com.

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

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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

Kroll Bond Rating Agency
Analytical:
Patrick Gervais, Senior Director
646-731-2426
pgervais@kbra.com
or
Edward DeVito, Senior Director
646-731-2319
edevito@kbra.com
or
Kristymarie Cariello, Director
646-731-2494
kcariello@kbra.com
or
Jack Kahan, Managing Director
646-731-2486
jkahan@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical:
Patrick Gervais, Senior Director
646-731-2426
pgervais@kbra.com
or
Edward DeVito, Senior Director
646-731-2319
edevito@kbra.com
or
Kristymarie Cariello, Director
646-731-2494
kcariello@kbra.com
or
Jack Kahan, Managing Director
646-731-2486
jkahan@kbra.com