KBRA Assigns Preliminary Ratings to Connecticut Avenue Securities, Series 2020-R02 (CAS 2020-R02)

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 57 classes from Connecticut Avenue Securities, Series 2020-R02 (CAS 2020-R02), a credit risk sharing transaction structured as a real estate mortgage investment conduit (REMIC) under the CAS shelf. The Offered Notes, with an aggregate original principal balance of $1,134,294,000, represent unsecured general obligations of Connecticut Avenue Securities Trust 2020-R02 as Issuer, with payments subject to the credit and principal payment risks of the CAS 2020-R02 Reference Pool.

The CAS 2020-R02 Reference Pool consists of 110,537 residential mortgage loans with an aggregate cut-off balance of approximately $29.1 billion. The loans in the Reference Pool (Reference Obligations) are fully documented, fully amortizing, fixed-rate mortgages (FRMs) of prime quality. The pool is characterized by loans with original loan-to-value (LTV) ratios that are greater than 80% and less than or equal to 97%. The pool’s weighted average (WA) LTV equals 92.3%. Approximately 0.3% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 92.3%. The borrowers in the Reference Pool have a WA original credit score of 743 and a WA debt-to-income (DTI) ratio of 37.6%.

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.

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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 designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is 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:

Patrick Gervais, Senior Director
(646) 731-2426
pgervais@kbra.com

Rebecca Lindenblatt, Analyst
(646) 731-2421
rlindenblatt@kbra.com

Jack Kahan, Senior Managing Director
(646) 731-2486
jkahan@kbra.com

Jeremy Kugelman, Analyst
(646) 731-1228
jkugelman@kbra.com

Business Development:

Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com

Contacts

Analytical:

Patrick Gervais, Senior Director
(646) 731-2426
pgervais@kbra.com

Rebecca Lindenblatt, Analyst
(646) 731-2421
rlindenblatt@kbra.com

Jack Kahan, Senior Managing Director
(646) 731-2486
jkahan@kbra.com

Jeremy Kugelman, Analyst
(646) 731-1228
jkugelman@kbra.com

Business Development:

Michele Patterson, Managing Director
(646) 731-2397
mpatterson@kbra.com