KBRA Assigns Preliminary Ratings to Fannie Mae’s CAS 2023-R08

NEW YORK--()--KBRA assigns preliminary ratings to 62 classes from Connecticut Avenue Securities, Series 2023-R08 (CAS 2023-R08), a credit risk sharing transaction with a total note offering of $573,483,000. The pool is characterized by loans with original loan-to-value (LTV) ratios that are greater than 60% and less than or equal to 80%.

The Reference Pool consists of 60,345 residential mortgage loans with an outstanding principal balance of approximately $18.9 billion as of the cut-off date. The Reference Obligations are fully documented, fully-amortizing, primarily 30-year fixed-rate mortgages (FRMs) of prime quality. The borrowers in the Reference Pool have a non-zero WA (NZWA) original credit score of 752 and a NZWA debt-to-income (DTI) ratio of 37.9%.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, an examination of the results from third-party loan file due diligence, 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.

To access ratings and relevant documents, click here.
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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. 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.

Contacts

Analytical Contacts

Ryon Aguirre, Senior Director (Lead Analyst)
+1 646-731-1239
ryon.aguirre@kbra.com

Yanqi Bai, Senior Analyst
+1 646-731-1330
yanqi.bai@kbra.com

Genki Ono, Analyst
+1 646-731-1415
genki.ono@kbra.com

Jack Kahan, Senior Managing Director (Rating Committee Chair)
+1 646-731-2486
jack.kahan@kbra.com

Business Development Contact

Daniel Stallone, Senior Director
+1 646-731-1308
daniel.stallone@kbra.com

Contacts

Analytical Contacts

Ryon Aguirre, Senior Director (Lead Analyst)
+1 646-731-1239
ryon.aguirre@kbra.com

Yanqi Bai, Senior Analyst
+1 646-731-1330
yanqi.bai@kbra.com

Genki Ono, Analyst
+1 646-731-1415
genki.ono@kbra.com

Jack Kahan, Senior Managing Director (Rating Committee Chair)
+1 646-731-2486
jack.kahan@kbra.com

Business Development Contact

Daniel Stallone, Senior Director
+1 646-731-1308
daniel.stallone@kbra.com