KBRA Assigns Preliminary Ratings to Connecticut Avenue Securities, Series 2019-HRP1 (CAS 2019-HRP1)

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 19 classes of Connecticut Avenue Securities, Series 2019-HRP1 (CAS 2019-HRP1). CAS 2019-HRP1 is a credit risk transfer (CRT) transaction based on a $106.8 billion Reference Pool comprising 840,988 loans originated under Fannie Mae’s Refi PlusTM program between 2009 and 2012 (including Home Affordable Refinance Program, HARP, loans). CAS 2019-HRP1 represents both the first CAS deal to reference loans acquired through Fannie Mae’s wide-ranging refinancing initiative and the largest agency CRT reference pool to date. The Offered Securities, with an aggregate original principal balance of $963,459,000, represent obligations of Connecticut Avenue Securities Trust 2019-HRP1 as Issuer, with payments subject to the credit and principal payment risks of the CAS 2019-HRP1 Reference Pool.

CAS 2019-HRP1 is characterized by seasoned rate/term refinance loans with a weighted average (WA) loan age of 97 months. The loans in the Reference Pool (Reference Obligations) are fully-amortizing, fixed-rate mortgages (FRMs) of prime quality. The pool’s WA original loan-to-value (LTV) and original combined LTV (CLTV) equal 82.2% and 86.7%, respectively. Approximately 25.4% of the loans possessed subordinate financing at origination. The borrowers in the Reference Pool have a WA original credit score of 748 and a non-zero WA debt-to-income (DTI) ratio of 33.9%.

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.

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



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. KBRA is also 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.


Analytical Contacts:

Patrick Gervais, Senior Director

(646) 731-2426


Rebecca Lindenblatt, Analyst

(646) 731-2421


Ashish Sharda, Senior Director

(646) 731-2415


Jack Kahan, Senior Managing Director

(646) 731-2486


Business Development Contact:

Michele Patterson, Managing Director

(646) 731-2397


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