NEW YORK--(EON: Enhanced Online News)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to nine classes from Fannie Mae’s Connecticut Avenue Securities, Series 2016-C07 (CAS 2016-C07), a credit risk sharing transaction with a total note offering of $701,681,000. CAS 2016-C07 is Fannie Mae’s 16th risk transfer deal under the CAS shelf, as well as the eighth CAS issuance featuring an actual loss framework. The Offered Notes represent unsecured general obligations of Fannie Mae, with payments subject to the credit and principal payment risks of the CAS 2016-C07 Reference Pool.
The CAS 2016-C07 Reference Pool consists of 96,747 residential mortgages with an aggregate cut-off balance of approximately $22.5 billion. The loans in the Reference Pool (Reference Obligations) are fully-documented, fully-amortizing fixed-rate mortgages (FRMs) of prime quality. The Reference Obligations are characterized by original loan-to-value (LTV) ratios that are greater than 80%, but less than or equal to 97%. The pool’s weighted average (WA) LTV and WA combined loan-to-value (CLTV) ratios are 92.0% and 92.1%, respectively, with approximately 0.4% of the loans possessing known subordinate financing at origination. The borrowers in the CAS 2016-C07 Reference Pool have a WA credit score of 744 and a WA debt-to-income (DTI) ratio of 34.9%.
KBRA’s analysis of the transaction included a loan-level analysis of the mortgage pool using our Residential Mortgage Default and Loss Model, an examination of the results from loan file due diligence performed by an independent third-party review 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.
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