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KBRA has assigned preliminary ratings to 34 classes from Freddie Mac Structured Agency Credit Risk (STACR) REMIC 2022 DNA1 Notes, Freddie Mac STACR REMIC Trust 2022-DNA1 (STACR 2022-DNA1), a credit-risk sharing transaction with a total note offering of $1,353 billion.
STACR 2022-DNA1 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 2022-DNA1 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 2022-DNA1 Reference Pool.
The STACR 2022-DNA1 Reference Pool consists of 109,774 residential mortgage loans with an outstanding principal balance of approximately $33.6 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 2022-DNA1 Reference Pool have a non-zero weighted average (NZWA) original credit score of 752 and a NZWA debt-to-income (DTI) ratio of 34.5%.
KBRA assigned the rates as follows:
- M-1A: A
- M-1B: BBB+
- M-2A: BBB
- M-2B: BBB-
- B-1A: BB+
- B-1B: BB
- B-2A: B+
- B-2B: B-1
- A-H, M-1AH, M-1BH, M-2AH, M-2BH, B-1AH, B-1BH, B-2AH, B-2BH, B-3H, XIO: Not rated.
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.
The Original Notes consist of the Class M-1A, M-1B, M-2A, M-2B, B-1A, B-1B, B-2A and B-2B Notes. The Class M-2A, M-2B, B-1A, B-1B, B-2A and B-2B constitute the Exchangeable Notes and they can be exchanged for proportionate interests in the applicable Modifiable and Combinable Notes (MACR Notes), and vice versa.
The Class A-H, M-1AH, M-1BH, M-2AH, M-2BH, B-1AH, B-1BH, B-2AH, B-2BH and B-3H Reference Tranches will not have corresponding Notes that are issued or sold. The Reference Tranches will be referenced only in connection with making calculations of principal payments required to be made by the Issuer and reductions and increases in the principal amounts of the Notes.
To read the full report, visit www.kbra.com (registration required).