KBRA Assigns Preliminary Ratings to Freddie Mac’s STACR 2024-HQA1

NEW YORK–(BUSINESS WIRE)–#creditratingagency–KBRA assigns preliminary ratings to 24 classes from Freddie Mac Structured Agency Credit Risk (STACR®) REMIC 2024-HQA1 Notes, Freddie Mac STACR REMIC Trust 2024-HQA1 (STACR 2024-HQA1), a credit risk sharing transaction with a total note offering of $712,000,000. STACR 2024-HQA1 features loans with loan-to value (LTV) ratios greater than 80%, but less than or equal to 97%. The Offered Notes represent obligations of the STACR 2024-HQA1 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-HQA1 Reference Pool.

The STACR 2024-HQA1 Reference Pool consists of 69,295 residential mortgage loans with an outstanding principal balance of approximately $23.1 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-HQA1 Reference Pool have a non-zero WA (NZWA) original credit score of 750 and a NZWA debt-to-income (DTI) ratio of 39.7%. The pool’s WA LTV and combined LTV (CLTV) equal 92.4% and 92.4%, 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-HQA1 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: 1003430

Contacts

Analytical Contacts

Tom Reilly, Associate Director (Lead Analyst)

+1 646-731-2317

tom.reilly@kbra.com

Yanqi Bai, Senior Analyst

+1 646-731-1330

yanqi.bai@kbra.com

Genki Ono, Senior Analyst

+1 646-731-1415

genki.ono@kbra.com

Patrick Gervais, Managing Director (Rating Committee Chair)

+1 646-731-2426

patrick.gervais@kbra.com

Business Development Contact

Daniel Stallone, Managing Director

+1 646-731-1308

daniel.stallone@kbra.com