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KBRA assigns preliminary ratings to 44 classes from Freddie Mac Structured Agency Credit Risk (STACR®) REMIC 2022-DNA2 Notes, Freddie Mac STACR REMIC Trust 2022-DNA2 (STACR 2022-DNA2), a credit risk sharing transaction with a total note offering of $1,919,000,000. STACR 2022-DNA2 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 2022-DNA2 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 2022-DNA2 Reference Pool.
The STACR 2022-DNA2 Reference Pool consists of 143,889 residential mortgage loans with an outstanding principal balance of approximately $45.0 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 2022-DNA2 Reference Pool have a non-zero WA (NZWA) original credit score of 748 and a NZWA debt-to-income (DTI) ratio of 35.0%.
KBRA’s rating approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS Credit Model, an examination of the results from third-party …
Full story available on Benzinga.com
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