KBRA Assigns Preliminary Ratings to Freddie Mac’s STACR 2024-DNA2
2024年5月9日 - 2:02AM
ビジネスワイヤ(英語)
KBRA assigns preliminary ratings to 24 classes from Freddie Mac
Structured Agency Credit Risk (STACR®) REMIC 2024-DNA2 Notes,
Freddie Mac STACR REMIC Trust 2024-DNA2 (STACR 2024-DNA2), a credit
risk sharing transaction with a total note offering of
$899,000,000. STACR 2024-DNA2 features loans with loan-to-value
(LTV) ratios greater than 60%, but less than or equal to 80%. The
Offered Notes represent obligations of the STACR 2024-DNA2 Trust in
a credit-linked note structure governed by a credit protection
agreement between the trust and Freddie Mac, with payments subject
to the credit and principal payment risks of the STACR 2024-DNA2
Reference Pool.
The STACR 2024-DNA2 Reference Pool consists of 96,512
residential mortgage loans with an outstanding principal balance of
approximately $32.1 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 STACR 2024-DNA2 Reference Pool have a non-zero WA (NZWA)
original credit score of 758 and a NZWA debt-to-income (DTI) ratio
of 37.8%. The pool’s WA LTV and combined LTV (CLTV) equal 75.7% and
75.9%, respectively.
KBRA’s rating approach incorporated loan-level analysis of the
mortgage pool through its KBRA RMBS Credit Model, Residential Asset
Loss Model (REALM), 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 rating and relevant documents, click here.
Click here to view the report.
Related Publications
- STACR 2024-DNA2 Tear Sheet
- RMBS KBRA Comparative Analytic Tool (KCAT)
Methodologies
- RMBS: U.S. RMBS Rating Methodology
- Structured Finance: Global Structured Finance Counterparty
Methodology
- ESG Global Rating Methodology
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.
Doc ID: 1004036
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Analytical
Tom Reilly, Associate Director (Lead Analyst) +1 646-731-2317
tom.reilly@kbra.com
Genki Ono, Senior Analyst +1 646-731-1415 genki.ono@kbra.com
Jack Kahan, Senior Managing Director, Head of Global RMBS
(Rating Committee Chair) +1 646-731-2486 jack.kahan@kbra.com
Business Development
Daniel Stallone, Managing Director +1 646-731-1308
daniel.stallone@kbra.com