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Lower Delinquencies Contributes to Upgraded STACR Transaction Ratings

Freddie Mac BHKroll Bond Rating Agency (KBRA) has recently upgraded its ratings for Freddie Mac’s Structured Agency Credit Risk (STACR) Debt Notes, Series 2015-HQA2, according to the latest RBMS Surveillance report from KBRA. Specifically, KBRA was upgraded the Class M-1, M-1F and M-1I Notes and has affirmed the ratings on all other KBRA-rated note classes. KBRA reports that the STACR 2015- HQA2 is a credit risk transfer transaction that closed in December 2015.

“In performing these rating actions, KBRA considered the transaction’s collateral performance, home price trends, deal structure and its updated loss estimates relative to current credit enhancement,” adds the report.

In surveying the collateral performance of the STACR 2015- HQA2 transaction, KBRA’s report indicates that approximately 0.21 percent of the pool was 60+ days delinquent. Additionally, the report found that as of the November 2016 remittance, the deal has an accumulated total loss of $305,046.60 or <0.01 percent.

“Through the November 2016 distribution, the Reference Pool has been reduced to a factor of 0.81 and delinquencies have been below expectations,” says KBRA

KBRA also found that in breaking down the pool, 0.48 percent were 30-days delinquent, 0.08 percent were 60-days delinquent, 0.13 percent were 90-days delinquent, 0.03 percent were in foreclosure, 0.01 percent were REO properties, and finally 0.09 percent were in bankruptcy.

“KBRA often weighs seasoning into determining the extent of positive rating actions effectuated in a manner that also considers a transaction’s structural features, such as the remaining size of more senior certificates, principal payments to subordinate tranches, and credit enhancement provisions,” says the report. “These features are weighted against, among other things, the tenor of the rated classes and the length of performance history associated with the collateral pool.”

The report says that because of these considerations, KBRA has upgraded the Class M-1, M-1F and M-1I Notes, while affirming all other rated note classes.

To read the full report, click HERE.

About Author: Kendall Baer

Kendall Baer is a Baylor University graduate with a degree in news editorial journalism and a minor in marketing. She is fluent in both English and Italian, and studied abroad in Florence, Italy. Apart from her work as a journalist, she has also managed professional associations such as Association of Corporate Counsel, Commercial Real Estate Women, American Immigration Lawyers Association, and Project Management Institute for Association Management Consultants in Houston, Texas. Born and raised in Texas, Baer now works as the online editor for DS News.
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