NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 28 classes from Structured Agency Credit Risk (STACR®) 2019-FTR2 Notes, Freddie Mac STACR Trust 2019-FTR2, a credit risk sharing transaction with a total note offering of $248,000,000. STACR 2019-FTR2 is structured as a credit-linked note governed by a Credit Protection Agreement (CPA) between the Trust (as credit protection seller) and Freddie Mac (as credit protection buyer). The issued notes have credit exposure to a set of underlying loans, called Reference Obligations, which meet a set of eligibility criteria specific to each issuance. The trust naming convention, which uses “FTR” for this transaction, indicates that the Reference Obligations for the subject transaction are somewhat “off-the-run” compared to other STACR transactions, which have used DN/DNA and HQ/HQA naming to signify generally “on-the-run” low and high LTV transactions, respectively.
The STACR 2019-FTR2 Reference Pool consists of 50,011 residential mortgage loans with an aggregate cut-off balance of approximately $11.5 billion. The loans in the Reference Pool (Reference Obligations) are fully-documented, fully-amortizing fixed-rate mortgages (FRMs) of prime quality. As mentioned, the pool is characterized by a mixture of loans with LTV ratios ranging from to 14% to 97%, with a weighted average (WA) LTV of 83.5%. Approximately 3.1% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 84.0%. The borrowers in the STACR 2019-FTR2 Reference Pool have a non-zero WA (NZWA) original credit score of 742 and a NZWA debt-to-income (DTI) ratio of 36.1%.
KBRA’s rating approach incorporated loan-level analysis of the reference pool through its Residential Mortgage Default and Loss Model, an examination of the results from loan file reviews performed by an independent third-party 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.
Contacts
Analytical Contacts:
Patrick Gervais, Senior Director
(646) 731-2426
pgervais@kbra.com
Sharif Mahdavian, Senior Director
(646) 731-2301
smahdavian@kbra.com
Gary Narvaez, Senior Director
(646) 731-2478
gnarvaez@kbra.com
Jack Kahan, Senior Managing Director
(646) 731-2486
jkahan@kbra.com
Fei Han, Analyst
(646) 731-2342
fhan@kbra.com
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