Fannie Mae unveils $952 million CRT ticket offer

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The main originators of the loans in the offer and the percentage of loans originated in the reference pool are United Wholesale Mortgage8.7%; Pennymac7%; Rocket Mortgage, 6%; and Wells Fargo3.7%.

Loans in the referral pool have an average balance of $303,100, according to the KBRA report, with the maximum loan balance exceeding $1 million. The KBRA report also notes that only 4.1% of the loans in the reference pool were subject to appraisal waivers.

In contrast, in Fannie’s early April credit risk transfer (CRT) CAS offering, CAS 2022-R04, 32% of the loans in the benchmark pool were subject to rating waivers. This led KBRA to apply “a large valuation haircut” to these loans, according to the bond rating company’s pre-sale report on this CRT deal.

Earlier this year, a Fannie executive said the agency, subject to market conditions, plans to issue $15 billion worth of tickets through CAS transactions in 2022. This latest deal will take the agency to approximately $6 billion of CAS notes issued to date.

Fannie CRT’s original 2022 agreement, CAS 2022-R01, involved a $1.5 billion note issued on a benchmark loan pool of 180,002 residential mortgages with an outstanding principal balance of $53.7 billion. dollars.

Series CAS 2022-R02, the second offering this year, was to transfer loan portfolio risk to private investors through a $1.2 billion note offering backed by a benchmark pool of 149,393 residential mortgages. valued at $44.3 billion.

CAS 2022-R03 involved transferring some of the risk from the agency’s loan portfolio through a $1.24 billion note offering backed by a benchmark loan pool of 150,395 loans primarily single-family mortgages valued at $44.4 billion.

CAS 2022-R04, which closed last month, was a $1.14 billion note offering backed by a benchmark pool of some 118,000 single-family mortgages valued at $36 billion.

With the completion of this fifth transaction, Fannie Mae will have brought to market 49 CAS transactions, issued more than $56 billion of notes and transferred a portion of the credit risk to private investors on more than $1.8 trillion of single-family mortgages, according to Fannie Mae’s transaction tally.

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