KBRA Assigns Preliminary Ratings to Freddie Mac’s STACR 2024-DNA2

NEW YORK–(BUSINESS WIRE)–#creditratingagency–KBRA assigns preliminary ratings to 24 classes from Freddie Mac Structured Agency Credit Risk (STACR®) REMIC 2024-DNA2 Notes, Freddie Mac STACR REMIC Trust 2024-DNA2 (STACR 2024-DNA2), a credit risk sharing transaction with a total note offering of $899,000,000. STACR 2024-DNA2 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 2024-DNA2 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 2024-DNA2 Reference Pool.

The STACR 2024-DNA2 Reference Pool consists of 96,512 residential mortgage loans with an outstanding principal balance of approximately $32.1 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 2024-DNA2 Reference Pool have a non-zero WA (NZWA) original credit score of 758 and a NZWA debt-to-income (DTI) ratio of 37.8%. The pool’s WA LTV and combined LTV (CLTV) equal 75.7% and 75.9%, respectively.

KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, Residential Asset Loss Model (REALM), 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.

To access rating and relevant documents, click here.

Click here to view the report.

Related Publications

• STACR 2024-DNA2 Tear Sheet
• RMBS KBRA Comparative Analytic Tool (KCAT)

Methodologies

• RMBS: U.S. RMBS Rating Methodology
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating 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. 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.

Doc ID: 1004036

Contacts

Analytical

Tom Reilly, Associate Director (Lead Analyst)

+1 646-731-2317

tom.reilly@kbra.com

Genki Ono, Senior Analyst

+1 646-731-1415

genki.ono@kbra.com

Jack Kahan, Senior Managing Director, Head of Global RMBS (Rating Committee Chair)

+1 646-731-2486

jack.kahan@kbra.com

Business Development

Daniel Stallone, Managing Director

+1 646-731-1308

daniel.stallone@kbra.com