KBRA Assigns Preliminary Ratings to Freddie Mac’s STACR 2018-DNA1

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 19 classes of notes from Freddie Mac’s Structured Agency Credit Risk (STACR) Debt Notes, Series 2018-DNA1 (STACR 2018-DNA1), a credit risk sharing transaction with a total note offering of $900,000,000. STACR 2018-DNA1 represents Freddie Mac’s 34th risk transfer deal under the STACR shelf, as well as the 11th 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 2018-DNA1 Reference Pool.

The STACR 2018-DNA1 Reference Pool consists of 146,937 residential mortgage loans with an aggregate cut-off balance of approximately $34.7 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 75.9%. Approximately 5.0% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 76.6%. The borrowers in the STACR 2018-DNA1 Reference Pool have a non-zero WA (NZWA) original credit score of 747 and a NZWA debt-to-income (DTI) ratio of 35.9%.

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 2018-DNA1, which was published on January 18, 2018 at www.kbra.com.

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

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Patrick Gervais, 646-731-2426
Senior Director
pgervais@kbra.com
or
Edward DeVito, 646-731-2319
Senior Director
edevito@kbra.com
or
Ryon Aguirre, 646-731-2382
Associate Director
raguirre@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
Edward DeVito, 646-731-2319
Senior Director
edevito@kbra.com
or
Ryon Aguirre, 646-731-2382
Associate Director
raguirre@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com