KBRA Assigns Preliminary Ratings to Fannie Mae’s Connecticut Avenue Securities, Series 2018-C02 (CAS 2018-C02)

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 47 classes from Fannie Mae’s Connecticut Avenue Securities, Series 2018-C02 (CAS 2018-C02), a credit risk sharing transaction with a total note offering of $1,007,022,000. The Offered Notes represent unsecured general obligations of Fannie Mae, with payments subject to the credit and principal payment risks of the CAS 2018-C02 Reference Pool.

The CAS 2018-C02 Reference Pool consists of 112,133 residential mortgages with an aggregate cut-off balance of approximately $26.5 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 92.5% and 92.6%, respectively, with approximately 0.3% of the loans possessing known subordinate financing at origination. The borrowers in the CAS 2018-C02 Reference Pool have a WA credit score of 743 and a WA debt-to-income (DTI) ratio of 35.8%.

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)

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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

Kroll Bond Rating Agency
Analytical:
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Patrick Gervais, 646-731-2426
Senior Director
pgervais@kbra.com
or
Edward DeVito, 646-731-2319
Senior Director
edevito@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com

Contacts

Kroll Bond Rating Agency
Analytical:
Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Patrick Gervais, 646-731-2426
Senior Director
pgervais@kbra.com
or
Edward DeVito, 646-731-2319
Senior Director
edevito@kbra.com
or
Jack Kahan, 646-731-2486
Managing Director
jkahan@kbra.com