KBRA Releases Research – Freddie Mac K-Series Loan Default and Loss Study

Kroll Bond Rating Agency (KBRA) releases a loan default and loss study on the Freddie Mac K-Series.

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Business Wire, Inc.Business Wire, Inc.
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Friday, July 30, 2021
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Consulting, Banking, Professional services, Finance, United States housing bubble, Mortgage industry of the United States, Credit risk, Finance, Credit rating agency, Freddie Mac, Securitization, Money, Economy
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United States, NEW YORK
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KBRA
Summary
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  • Kroll Bond Rating Agency (KBRA) releases a loan default and loss study on the Freddie Mac K-Series.
  • In the report, KBRA reviewed the performance of 17,037 loans from 300 transactions securitized from June 2009 to December 2020.
  • The study population exhibited a cumulative default rate of 0.35% (59 loans).
  • The study examined default rates by its property, loan, and financial characteristics.


Kroll Bond Rating Agency (KBRA) releases a loan default and loss study on the Freddie Mac K-Series. In the report, KBRA reviewed the performance of 17,037 loans from 300 transactions securitized from June 2009 to December 2020. The study population exhibited a cumulative default rate of 0.35% (59 loans). Of the 59 defaulted loans, eight experienced loss severities ranging from 9.6% to 51% (average 28.1%).

The study examined default rates by its property, loan, and financial characteristics. Among the property sub-types, loans secured by student housing properties exhibited the highest default rate of 3.53%, while multifamily was meaningfully lower, at 0.36%, and manufactured housing was less than half of that figure, at 0.14%. Lower default rates were generally observed for larger loans (with balances in excess of $50 million), those used for property acquisitions, and properties in primary markets.

Click here to view the report.

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About KBRA

KBRA is a full-service credit rating agency registered in the U.S., the EU and the UK, and is designated to provide structured finance ratings in Canada. KBRA’s ratings can be used by investors for regulatory capital purposes in multiple jurisdictions.

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