NEW YORK--(BUSINESS WIRE)--Sep 6, 2018--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 28 classes from Structured Agency Credit Risk (STACR ® ) 2018-DNA3 Notes, Freddie Mac STACR Trust 2018-DNA3, a credit risk sharing transaction with a total note offering of $820,000,000. STACR 2018-DNA3 represents Freddie Mac’s 20 th credit risk transfer transaction under the STACR “DN/DNA” shelf, featuring 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 2018-DNA3 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 2018-DNA3 Reference Pool.

The STACR 2018-DNA3 Reference Pool consists of 128,444 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 75.6%. Approximately 3.9% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 76.1%. The borrowers in the STACR 2018-DNA3 Reference Pool have a non-zero WA (NZWA) original credit score of 744 and a NZWA debt-to-income (DTI) ratio of 36.3%.

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 .

For complete details on the analysis, please see our pre-sale report, , which was published on September 6, 2018 at .

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About KBRA and KBRA Europe

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, is 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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CONTACT: Analytical:

Kroll Bond Rating Agency

Patrick Gervais, 646-731-2426

Senior Director


Gary Narvaez, 646-731-2478



Jack Kahan, 646-731-2486

Managing Director



SOURCE: Kroll Bond Rating Agency

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PUB: 09/06/2018 11:41 AM/DISC: 09/06/2018 11:41 AM