Kroll, Fitch to Rate Latest Freddie Risk-Share

Mortgage & Real Estate

Kroll Bond Ratings Agency and Fitch plan to assign investment grade ratings to the M1 and M2 notes of Freddie Mac’s latest risk sharing transaction.

KBRA expects to rate the $966 million Structured Agency Credit Risk deal’s M1 notes A and the M2 notes of BBB. Fitch has assigned preliminary Asf and BBB-sf ratings to the deal, STACR 2014-DN2. (BBB- is generally considered the lowest investment-grade rating.) The structure also will issue M3 notes that the ratings agencies will leave unrated.

Freddie Mac’s February deal, STACR 2014-DN1, also offered three tranches (M1, M2 and M3) with different levels of credit support.

The $28.1 billion reference pool of 116,677 mortgages has a weighted average Fair Isaac Co. credit score of 760, a WA loan-to-value of 75%, and a WA combined loan-to-value of 76%. The class M1 and M2 notes offer credit enhancement of 2.00%; the class M3 notes offer credit enhancement of 0.30%.

Morgan Stanley and Nomura Securities are the co-lead managers on the transaction.

Bonnie Sinnock contributed to this report

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