KBRA Prepares Ratings for Fannie Mae’s CAS 2025-R01 Offering

KBRA Assigns Preliminary Ratings for CAS 2025-R01

KBRA has officially assigned preliminary ratings to 63 classes of the Connecticut Avenue Securities, Series 2025-R01 (CAS 2025-R01). This significant credit risk-sharing transaction features a total note offering amounting to $777,109,000. The composition of the loan pool is notable, having original loan-to-value (LTV) ratios exceeding 60% and capped at 80%.

Reference Pool Overview

The reference pool comprises a substantial total of 51,922 residential mortgage loans, achieving an outstanding principal balance estimated around $17.4 billion as of the specified cut-off date. The loans consist of fully documented, fully-amortizing prime quality mortgages, primarily fixed at 30 years. Noteworthy is that borrowers within this reference pool exhibit a non-zero weighted average (WA) original credit score of 760 alongside a WA debt-to-income (DTI) ratio of 37.8%.

KBRA’s Comprehensive Rating Analysis

The rigorous KBRA rating methodology involved detailed loan-level assessments using its proprietary KBRA RMBS Credit Model and the Residential Asset Loss Model (REALM). This encompassed an evaluation of outcomes from third-party loan file due diligence and extensive cash flow modeling concerning the transaction's payment structure. Furthermore, KBRA conducted thorough reviews of key transaction parties, ensuring a comprehensive legal structure and documentation assessment.

Key Factors Influencing Ratings

To offer insights into the credit ratings, KBRA has emphasized understanding the critical credit considerations and sensitivity analyses. These analyses hinge on variables that could conceivably impact ratings, potentially leading to either upgrades or downgrades in the future.

Accessing Ratings and Related Independent Reports

Investors and stakeholders interested in the ratings and relevant documentation can find these resources readily accessible through KBRA’s platforms. This includes various reports that detail the methodologies applied and insights on the transaction.

Resources for Further Details

For a deeper understanding of the Connecticut Avenue Securities, potential investors are encouraged to examine the aforementioned reports related to CAS 2025-R01, which outline the different characteristics and the analytical framework applied in this assessment.

Understanding KBRA and Its Role

Kroll Bond Rating Agency, LLC (KBRA) stands as a prominent full-service credit rating agency (CRA), holding registration with the U.S. Securities and Exchange Commission as an NRSRO. Its operations extend globally, with Kroll Bond Rating Agency Europe Limited registered with the European Securities and Markets Authority, and Kroll Bond Rating Agency UK Limited recognized with the UK Financial Conduct Authority. Additionally, they earn commendation as a Designated Rating Organization by the Ontario Securities Commission.

Global Recognition and Trust

KBRA values its esteemed position in the industry, recognized as a Qualified Rating Agency by Taiwan's Financial Supervisory Commission and accredited by the National Association of Insurance Commissioners as a Credit Rating Provider within the United States. This framework reinforces KBRA's commitment to delivering reliable and insightful credit assessments.

Frequently Asked Questions

What is CAS 2025-R01?

CAS 2025-R01 refers to the Connecticut Avenue Securities, Series 2025-R01, a credit risk-sharing transaction from Fannie Mae designed to manage mortgage risk.

What role does KBRA play in this transaction?

KBRA evaluates the creditworthiness of the mortgage pools involved in the CAS 2025-R01, assigning preliminary ratings to aid investors in understanding potential risks.

How does KBRA assess credit risk?

KBRA employs rigorous methodologies including loan-level analysis, cash flow modeling, and assessment of transaction structures to assess credit risk.

What are the key metrics of the loan pool?

The loan pool consists of 51,922 loans with a total outstanding balance of about $17.4 billion, with average credit scores of 760 and DTI ratios of 37.8%.

Where can I find more information about KBRA’s ratings?

Investors can access ratings, methodologies, and additional details on KBRA's official website and reports related to specific transactions like CAS 2025-R01.

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