KBRA Assigns Preliminary Ratings to Fannie Mae’s Connecticut Avenue Securities, Series 2018-C06 (CAS 2018-C06)
NEW YORK--(BUSINESS WIRE)--Oct 1, 2018--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 110 classes from Fannie Mae’s Connecticut Avenue Securities, Series 2018-C06 (CAS 2018-C06), a credit risk sharing transaction with a total note offering of $918,188,000. The Offered Notes represent unsecured general obligations of Fannie Mae, with payments subject to the credit and principal payment risks of the CAS 2018-C06 Reference Pool.
The aggregate CAS 2018-C06 Reference Pool consists of 105,386 residential mortgage loans with an aggregate cut-off balance of approximately $25.7 billion. The loans in the Reference Pool (Reference Obligations) are fully-documented, fully-amortizing fixed-rate mortgages (FRMs) of prime quality. The Reference Pool is divided into two individual loan groups (Loan Group 1 and Loan Group 2) based on original loan-to-value (LTV).
Loan Group 1 comprises 62,061 mortgages with an aggregate cut-off date balance of approximately $15.2 billion. The pool is characterized by loans with LTV ratios that are greater than 60% and less than or equal to 80%. The pool’s weighted average (WA) LTV equals 75.4%. Approximately 4.0% of the loans possessed subordinate financing at origination, contributing to the pool’s WA combined loan-to-value (CLTV) ratio of 75.9%. The borrowers in Loan Group 1 have a WA original credit score of 741 and a WA debt-to-income (DTI) ratio of 37.4%.
Loan Group 2 consists of 43,325 mortgages with an aggregate cut-off date balance of approximately $10.5 billion. The pool is characterized by loans with LTV ratios that are greater than 80% and less than or equal to 97%. The pool’s WA original LTV equals 92.5%. Approximately 0.4% of the loans possessed subordinate financing at origination, contributing to the pool’s WA original CLTV ratio of 92.5%. The borrowers in Loan Group 2 have a WA original credit score of 743 and a WA DTI ratio of 38.2%.
KBRA’s analysis of the transaction included a loan-level analysis of the mortgage pool using our Residential Mortgage Default and Loss Model, an examination of the results from loan file due diligence performed by an independent third-party review 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.
Related Publications: (available at )
CONNECT WITH KBRA
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.
View source version on businesswire.com:https://www.businesswire.com/news/home/20181001005834/en/
Gary Narvaez, Director
Patrick Gervais, Senior Director
Jack Kahan, Managing Director
KEYWORD: UNITED STATES NORTH AMERICA NEW YORK
INDUSTRY KEYWORD: PROFESSIONAL SERVICES BANKING FINANCE INSURANCE
SOURCE: Kroll Bond Rating Agency
Copyright Business Wire 2018.
PUB: 10/01/2018 01:07 PM/DISC: 10/01/2018 01:07 PM