Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 28 classes from Structured Agency Credit Risk (STACR®) 2020-DNA1 Notes, Freddie Mac STACR Trust 2020-DNA1, a credit risk sharing transaction with a total note offering of $794,000,000. STACR 2020-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 2020-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 2020-DNA1 Reference Pool.
The STACR 2020-DNA1 Reference Pool consists of 117,581 residential mortgage loans with an aggregate cut-off balance of approximately $29.6 billion. The loans in the Reference Pool (Reference Obligations) are fully-documented, fully-amortizing fixed-rate mortgages (FRMs) of prime quality. As mentioned, the pool is characterized by loans with LTV ratios that are greater than 60% and less than or equal to 80%, with a weighted average (WA) LTV of 76.1%. Approximately 1.7% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 76.3%. The borrowers in the STACR 2020-DNA1 Reference Pool have a non-zero WA (NZWA) original credit score of 752 and a NZWA debt-to-income (DTI) ratio of 35.9%.
KBRA’s rating approach incorporated loan-level analysis of the reference pool through its Residential Mortgage Default and Loss Model, an examination of the results from loan file reviews performed by an independent third-party firm, 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 ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- STACR 2020-DNA1 Pre-Sale Report
- STACR 2020-DNA1 Tear Sheet
- U.S. RMBS Rating Methodology
- Residential Mortgage Default and Loss Model
- Global Structured Finance Counterparty Methodology
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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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