KBRA Assigns Preliminary Ratings to Fannie Mae’s Connecticut Avenue Securities, Series 2017-C06 (CAS 2017-C06)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 94
classes from Fannie Mae’s Connecticut Avenue Securities, Series 2017-C06
(CAS 2017-C06), a credit risk sharing transaction with a total note
offering of $1,069,435,000. CAS 2017-C04 is Fannie Mae’s 22nd
risk transfer deal under the CAS shelf, as well as the fourteenth 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 2017-C06 Reference
Pool.

The aggregate CAS 2017-C06 Reference Pool consists of 135,856
residential mortgage loans with an aggregate cut-off balance of
approximately $32.0 billion. The loans in the Reference Pool (Reference
Obligations) are fully-documented, fully-amortizing fixed-rate mortgages
(FRMs) of prime quality. The Reference Pool is divided into two
individual loan groups (Loan Group 1 and Loan Group 2) based on original
loan-to-value (LTV).

Loan Group 1 comprises 69,367 mortgages with an aggregate cut-off date
balance of approximately $16.49 billion. The pool is characterized by
loans with LTV ratios that are greater than 60% and less than or equal
to 80%. The pool’s weighted average (WA) LTV equals 74.91 %.
Approximately 5.84% of the loans possessed subordinate financing at
origination, contributing to the pool’s WA combined loan-to-value (CLTV)
ratio of 75.64%. The borrowers in Loan Group 1 have a WA original credit
score of 746 and a WA debt-to-income (DTI) ratio of 34.59%.

Loan Group 2 consists of 66,489 mortgages with an aggregate cut-off date
balance of approximately $15.51 billion. The pool is characterized by
loans with LTV ratios that are greater than 80% and less than or equal
to 97%. The pool’s WA original LTV equals 92.21%. Approximately 0.51% of
the loans possessed subordinate financing at origination, contributing
to the pool’s WA original CLTV ratio of 92.24%. The borrowers in Loan
Group 2 have a WA original credit score of 743 and a WA DTI ratio of
35.62%.

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
.

For complete details on the analysis, please see our pre-sale report, Connecticut
Avenue Securities, Series 2017-C06
, which was published on
August 11, 2017 at www.kbra.com.

Related Publications: (available
at www.kbra.com)

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a
Nationally Recognized Statistical Rating Organization (NRSRO). In
addition, KBRA is recognized by the National Association of Insurance
Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Kroll Bond Rating Agency
Analytical
Contacts:

Gary Narvaez, 646-731-2478
Director
gnarvaez@kbra.com
or
Patrick
Gervais, 646-731-2426
Senior Director
pgervais@kbra.com
or
Kristymarie
Cariello, 646-731-2494
Director
kcariello@kbra.com
or
Jack
Kahan, 646-731-2486
Managing Director
jkahan@kbra.com