KBRA Assigns Preliminary Ratings to Fannie Mae’s CAS 2024-R01
22 Jan 2024 | New York
KBRA assigns preliminary ratings to 65 classes from Connecticut Avenue Securities, Series 2024-R01 (CAS 2024-R01), a credit risk sharing transaction with a total note offering of $752,249,000. The pool is characterized by loans with original loan-to-value (LTV) ratios that are greater than 60% and less than or equal to 80%.
The Reference Pool consists of 59,883 residential mortgage loans with an outstanding principal balance of approximately $19.2 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 Reference Pool have a non-zero WA (NZWA) original credit score of 753 and a NZWA debt-to-income (DTI) ratio of 38.0%.
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.
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