KBRA Gives Fannie Mae CAS 2022-R03 Preliminary Ratings

NEW YORK–(BUSINESS WIRE)–KBRA assigns preliminary ratings to 65 classes of Connecticut Avenue Securities, Series 2022-R03 (CAS 2022-R03), a credit risk sharing transaction with a total note offering of $1,241,608,000. The pool is characterized by loans with initial loan-to-value (LTV) ratios greater than 60% and less than or equal to 80%.

The benchmark portfolio consists of 150,395 residential mortgage loans with an outstanding principal balance of approximately $44.4 billion at the cut-off date. The Reference Obligations are fully documented and fully amortized, primarily fixed rate mortgages (FRM) with a term of 30 years of prime quality. Borrowers in the comparator group have a non-zero WA (NZWA) initial credit score of 757 and an NZWA debt-to-income ratio (DTI) of 34.0%.

KBRA’s scoring approach incorporated loan-level analysis of the mortgage pool through its KBRA RMBS credit model, due diligence results review of third-party loan files, cash flow modeling analysis of the payment structure of the transaction, reviews of the principal parties to the transaction and an assessment of the legal structure and documentation of the transaction. This analysis is further described in our US RMBS Rating Methodology.

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Disclosures

Further information on key credit considerations, sensitivity analyzes that consider factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned above.

A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of the main relevant rating assumptions, the where applicable) used to determine the credit rating are available in the information disclosure form(s) located here.

Information on the meaning of each rating category can be found here.

Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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.

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