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TMCNet:  KBRA Assigns Preliminary Ratings to Freddie Mac's STACR 2018-SPI3

[September 13, 2018]

KBRA Assigns Preliminary Ratings to Freddie Mac's STACR 2018-SPI3

Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to four classes of certificates from Freddie Mac's Structured Agency Credit Risk (STACR) Securitized Participation Interests Trust, Series 2018-SPI3 (STACR 2018-SPI3), a credit risk sharing transaction with a total certificate offering of $258,781,458. STACR 2018-SPI3 represents Freddie Mac's fourth risk transfer deal under the STACR SPI shelf. The offered certificates are backed by participation interests (PI) in underlying mortgage loans acquired by Freddie Mac.

The underlying STACR 2018-SPI3 mortgage pool consists of 19,195 residential mortgage loans with an aggregate cut-off balance of approximately $6.5 billion. The loans are fully-amortizing, fixed-rate mortgages (FRMs) of prime quality. The borrowers in the pool have a weighted average (WA) original credit score of 763 and a WA debt-to-income (DTI (News - Alert)) ratio of 36.5%. The pool has a WA loan-to-value (LTV) ratio of 81.4% and WA combined LTV (CLTV) of 81.7%, with approximately 3.0% of the loans possessing subordinate financing at origination.

KBRA's rating approach incorporated loan-level analysis of the mortgage pool through its Residential Mortgage Default and Loss Model, an examination of the results from loan file reviews performed by an independent third-party 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.

For complete details on the analysis, please see our pre-sale report, STACR 2018-SP3, which was published on September 13, 2018 at

Representation & Warranties Disclosure

All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC (News - Alert) Rule 17g-7, to provide a description of a transaction's representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA's disclosure for this transaction can be found in the report available here.

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About KBRA and KBRA Europe

KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus, is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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