Allison Bisbey

Laurel Davis, VP, credit risk transfer at Fannie Mae, explains why the switch to a REMIC structure for CAS is important, and why it took so long.

The company’s first transaction, Eagle Re 2018-1, transfers a portion of the credit risk on approximately $36.3 billion of mortgages, according to Morningstar Credit Ratings.

The $571 million transaction is backed by 915 loans originated from 2002 and 2008 that Waterfall Asset Management acquired over eight years.

The structure reduces counterparty risk in the GSE's benchmark Connecticut Avenue Securities program; it also expands the investor base.

Rating agencies are sparring over a new feature in a private-label RMBS that upends the relationship between senior and sub bondholders.

The mortgages being reinsured are more seasoned than most other deals rated by Morningstar, which helps offset the risk of lower initial weighed average LTV.

The REIT is purchasing another $500 million of credit risk transfer notes through Fannie's L Street Securities program; this is its first deal rated by Fitch.

Wells Fargo’s first private-label mortgage securitization since the financial crisis doesn’t break any new ground — and that’s probably the point.

Similar to estimates published by Moody's and Morningstar, the data provider reckons that more than half of the loans are securitized by Fannie, Freddie or Ginnie.

Moody's sees $10.7 billion of securitized commercial mortgages at risk, Morningstar just $1.49 billion; both say loans in Freddie Mac K-deals account for a significant portion of exposure.

Caliber Home Loans’ next offering of subprime mortgage bonds includes a new product offered to borrowers with a stronger credit profile than its other programs – but also less equity in their homes.

The GSE recently transferred $166 million portion of risk on $11.1 billion of loans via contracts with seven reinsurers and insurers; it plans to come to market two or three time a year going forward.

The sponsor has increased the credit enhancement on the senior support class of notes on offer in order to offset the slightly higher risk to investors.

The $653 million Bellemeade Re 2018-2 is being rated by both Fitch Ratings and Morningstar Credit Ratings, though Fitch sees more risk to the transaction.

AmeriHome GMSR Issuer Trust, consists of $155 million of fixed-rate, five-year notes and $500 million of two-year variable funding notes; it is modeled on deals by PennyMac.

The mortgage servicer plans to add PHH advance receivables to the collateral once the acquisition closes, though these will only account for around 6% of the total pool.

The company is marketing another $550 million of bonds backed by MSRs; proceeds will be used to repay the remaining $500 million of notes issued last year at wider spreads.

Just 5.1% of the $91 million of liens backing the transaction are vacant, down from 9.2% of the prior deal; this allowed the sponsor to borrower more heavily against the value of hte collateral.

Some collateral attributes, such as non-full documentation and a high percentage of non-QM and HPQM loans, fall slightly outside the credit box seen in other recent prime transactions, according to Fitch.

Oaktown Re II is National Mortgage Insurance's first rated transaction, according to Morningstar; it reinsures $5.47 billion of policies on mortgages with a total balance of $30.12 billion.