KBRA Assigns Preliminary Ratings to Freddie Mac’s STACR 2024-DNA1
1 Feb 2024 | New York
KBRA assigns ratings to 24 classes from Freddie Mac Structured Agency Credit Risk (STACR®) REMIC 2024-DNA1 Notes, Freddie Mac STACR REMIC Trust 2024-DNA1 (STACR 2024-DNA1), a credit risk sharing transaction with a total note offering of $572,000,000. STACR 2024-DNA1 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-DNA1 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-DNA1 Reference Pool.
The STACR 2024-DNA1 Reference Pool consists of 59,003 residential mortgage loans with an outstanding principal balance of approximately $18.3 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-DNA1 Reference Pool have a non-zero WA (NZWA) original credit score of 752 and a NZWA debt-to-income (DTI) ratio of 38.5%. The pool’s WA LTV and combined LTV (CLTV) equal 75.8% and 76.1%, 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.
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