KBRA Assigns Preliminary Ratings To Freddie Mac’s STACR 2022-DNA3

KBRA has assigned preliminary ratings to 44 classes of Freddie Mac Structured Agency Credit Risk (STACR) REMIC 2022-DNA3 Notes, Freddie Mac STACR REMIC Trust 2022-DNA3 (STACR 2022-DNA3), a credit risk-sharing transaction with a total note offering of $1.84 billion. 

STACR 2022-DNA3 features loans with loan-to-value ratios greater than 60%, but less than or equal to 80%. The offered notes represent obligations of the STACR 2022-DNA3 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-DNA3 Reference Pool.

The STACR 2022-DNA3 Reference Pool consists of 140,950 residential mortgage loans with an outstanding principal balance of approximately $42.9 billion as of the cut-off date. The reference obligations are fully documented, fully amortizing, primarily 30-year fixed-rate mortgages of prime quality. The borrowers in the STACR 2022-DNA3 Reference Pool have a non-zero weighted average (NZWA) original credit score of 747, and a NZWA debt-to-income ratio of 35.2%.

KBRA assigned preliminary ratings 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-
• A-H, M-1AH, M-2AH, M-2BH, B-1AH, B-1BH, B-2AH, B-2BH, B-3H, X-IO: 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. 

You can read the full report at www.kbra.com (registration required).