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Kroll, Fitch to Rate Latest Freddie Risk-Share

MAR 31, 2014 5:17pm ET
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Kroll Bond Ratings Agency and Fitch plan to assign investment grade ratings to the M1 and M2 notes of Freddie Mac's latest risk sharing transaction.

KBRA expects to rate the $966 million Structured Agency Credit Risk deal's M1 notes A and the M2 notes of BBB. Fitch has assigned preliminary Asf and BBB-sf ratings to the deal, STACR 2014-DN2. (BBB- is generally considered the lowest investment-grade rating.) The structure also will issue M3 notes that the ratings agencies will leave unrated.

Freddie Mac’s February deal, STACR 2014-DN1, also offered three tranches (M1, M2 and M3) with different levels of credit support.

The $28.1 billion reference pool of 116,677 mortgages has a weighted average Fair Isaac & Co. credit score of 760, a WA loan-to-value of 75%, and a WA combined loan-to-value of 76%. The class M1 and M2 notes offer credit enhancement of 2.00%; the class M3 notes offer credit enhancement of 0.30%.

Morgan Stanley and Nomura Securities are the co-lead managers on the transaction.

Bonnie Sinnock contributed to this report

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