KBRA Assigns Preliminary Ratings to Freddie Mac’s STACR 2021-DNA3

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 28 classes from Structured Agency Credit Risk (STACR^®) REMIC 2021-DNA3 Notes, Freddie Mac STACR REMIC Trust 2021-DNA3 (STACR 2021-DNA3), a credit risk sharing transaction with a total note offering of $950,000,000. STACR 2021-DNA3 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 2021-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 2021-DNA3 Reference Pool.

The STACR 2021-DNA3 Reference Pool consists of 140,386 residential mortgage loans with an outstanding principal balance of approximately $44.6 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 2021-DNA3 Reference Pool have a non-zero WA (NZWA) original credit score of 763 and a NZWA debt-to-income (DTI) ratio of 33.2%.

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. This analysis is further described in our U.S. RMBS Rating Methodology.

Click here to view the report. To access ratings and relevant documents, click here.

Related Publications

• STACR 2021-DNA3 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)
• U.S. RMBS Rating Methodology
• U.S. RMBS Mortgage Default and Loss Model Methodology
• Global Structured Finance Counterparty 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 pursuant to the Temporary Registration Regime. 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.

Contacts

Analytical Contacts
Ryon Aguirre, Director (Lead Analyst)

+1 (646) 731-1239

ryon.aguirre@kbra.com

Thomas Reilly, Senior Analyst

+1 (646) 731-2317

tom.reilly@kbra.com

Patrick Gervais, Managing Director

+1 (646) 731-2426

patrick.gervais@kbra.com

Jack Kahan, Senior Managing Director (Rating Committee Chair)

+1 (646) 731-2486

jack.kahan@kbra.com

Business Development Contact
Michele Patterson, Managing Director

+1 (646) 731-2397

michele.patterson@kbra.com