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TMCNet:  KBRA Assigns Preliminary Ratings to Freddie Mac's STACR 2018-SPI4

[December 06, 2018]

KBRA Assigns Preliminary Ratings to Freddie Mac's STACR 2018-SPI4

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-SPI4 (STACR 2018-SPI4), a credit risk sharing transaction with a total certificate offering of $275,491,866. STACR 2018-SPI4 represents Freddie Mac's fifth 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-SPI4 mortgage pool consists of 20,380 residential mortgage loans with an aggregate cut-off balance of approximately $6.9 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 755 and a WA debt-to-income (DTI (News - Alert)) ratio of 37.1%. The pool has a WA loan-to-value (LTV) ratio of 82.7% and WA combined LTV (CLTV) of 83.1%, with approximately 3.2% 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-SPI4, which was published on December 06, 2018 at

To access raings, reports and disclosures, click 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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