KBRA Assigns Preliminary Ratings to Connecticut Avenue Securities, Series 2019-R05 (CAS 2019-R05)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 57 classes from Connecticut Avenue Securities, Series 2019-R05 (CAS 2019-R05), 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 $993,156,000, represent unsecured general obligations of Connecticut Avenue Securities Trust 2019-R05 as Issuer, with payments subject to the credit and principal payment risks of the CAS 2019-R05 Reference Pool.

The CAS 2019-R05 Reference Pool consists of 98,085 residential mortgage loans with an aggregate cut-off balance of approximately $23.8 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 loan-to-value (LTV) ratios that are greater than 60% and less than or equal to 80%. The pool’s weighted average (WA) LTV equals 75.6%. Approximately 3.4% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 76.1%. The borrowers in the Reference Pool have a WA original credit score of 741 and a WA debt-to-income (DTI) ratio of 37.7%.

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.


Analytical Contacts:

Gary Narvaez, Senior Director

(646) 731-2478


Patrick Gervais, Senior Director

(646) 731-2426


Jack Kahan, Senior Managing Director

(646) 731-2486


Edward DeVito, Managing Director

(646) 731-2319


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