DBRS Assigns Ratings to Debt Notes in Freddie Mac Structured Agency Credit Risk (STACR) Transactions

DBRS, Inc. (DBRS) has assigned ratings to the Debt Notes from four previously issued Structured Agency Credit Risk (STACR) transactions as follows:

STACR 2015-DN1:
-- $345.0 million Class M-3 at BB (sf)
-- $345.0 million Class M-3F at BB (sf)
-- $345.0 million Class M-3I at BB (sf)
-- $478.8 million Class MA at BB (sf)

STACR 2015-DNA3:
-- $330.0 million Class M-3 at B (high) (sf)
-- $330.0 million Class M-3F at B (high) (sf)
-- $330.0 million Class M-3I at B (high) (sf)
-- $824.5 million Class MA at B (high) (sf)

STACR 2016-DNA3:
-- $389.5 million Class M-3 at B (high) (sf)
-- $199.5 million Class M-3B at B (high) (sf)

STACR 2016-HQA1:
-- $220.0 million Class M-3 at B (sf)
-- $220.0 million Class M-3F at B (sf)
-- $220.0 million Class M-3I at B (sf)
-- $434.2 million Class MA at B (sf)

DBRS has previously assigned ratings to some other classes in the above transactions.

STACR debt notes represent unsecured general obligations of the government-sponsored enterprises (GSEs). The notes are subject to the credit and principal payment risk of a certain reference pool of residential mortgage loans held in various GSE-guaranteed mortgage-backed securities. Reference pools are divided into transactions based on original loan-to-value (LTV), low LTV and high LTV.

Cash flow from the reference pools is not used to make any payments to the noteholders; instead, the GSEs are responsible for making monthly interest payments at the applicable note rate and periodic principal payments on the notes based on the actual principal payments they collect from the reference pools.

Depending on the type of issuances, note writedowns may be based on a predetermined set of loss severities or actual realized losses.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The applicable methodologies are RMBS Insight 1.2: U.S. Residential Mortgage-Backed Securities Model and Rating Methodology, Unified Interest Rate Model for Rating U.S. Structured Finance Transactions, Third-Party Due Diligence Criteria for U.S. RMBS Transactions, Representations and Warranties Criteria for U.S. RMBS Transactions, Legal Criteria for U.S. Structured Finance, Operational Risk Assessment for U.S. RMBS Originators and Operational Risk Assessment for U.S. RMBS Servicers, which can be found on our website under Methodologies.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.