KBRA Assigns Preliminary Ratings to Freddie Mac’s STACR 2019-HQA2
NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 23
classes from Structured Agency Credit Risk (STACR) 2019-HQA2 Notes,
Freddie Mac STACR Trust 2019-HQA2, a credit risk sharing transaction
with a total note offering of $615,000,000. Structured Agency Credit
Risk (STACR) 2019-HQA2 Notes, Freddie Mac STACR Trust 2019-HQA2 (STACR
2019-HQA2) features credit exposure to Reference Obligations with
original loan-to-value (LTV) ratios greater than 80% but less than or
equal to 97%. The Offered Notes represent obligations of the STACR
2019-HQA2 Trust in a credit-linked note structure governed by a Credit
Protection Agreement (CPA) between the Trust and Freddie Mac, with
payments subject to the credit and principal payment risks of the STACR
2019-HQA2 Reference Pool.
The STACR 2019-HQA2 Reference Pool consists of 81,967 residential
mortgage loans with an outstanding principal balance of approximately
$19.5 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 2019-HQA2
Reference Pool have a non-zero WA (NZWA) original credit score of 746
and a NZWA debt-to-income (DTI) ratio of 37.4%.
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)
2019-HQA2 Pre-Sale Report
2019-HQA2 Tear Sheet
RMBS Rating Methodology
Mortgage Default and Loss Model
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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. 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.
Gervais, Senior Director
Kahan, Senior Managing Director