Fannie Mae came out with the 7th CAS offering

Less than a month after announcing its sixth Connecticut Avenue Series (CAS) credit risk transfer agreement of 2022, Fannie Mae unveils its seventh CAS deal of the year – an $866 million note offering backed by a benchmark pool of single-family mortgages valued at $30.6 billion.

Earlier this month, Fannie Mae launched his one sixth CAS credit risk transfer (CRT) this year CAS 2022-R06, which involved a $754.4 million note offering backed by a benchmark pool of 83,420 single-family mortgages valued at $25 billion.

The latest $866 million note offering, CAS 2022-R07, involves a benchmark pool of 101,170 single-family mortgages, according to a pre-sale review by the Kroll bond rating agency (KBRA). Highlights of Fannie’s latest CAS transaction include the following:

  • The main originators of the loans in the offer and the percentage of loans originated in the reference pool are Rocket Mortgage11.8%; United Wholesale Mortgage8.6%; Wells Fargo, 5.4%; and Pennymac5.3%.
  • The KBRA report indicates that 35% of the more than 101,000 loans in the reference pool received assessment waivers. “It should be noted that if the acceptability of a property value or sales price based on the use of proprietary models and market data is assessed,” the KBRA report states, “it done without Fannie Mae performing a property review or obtaining a property valuation.As a result, KBRA applied a large valuation discount to these loans.
  • The CAS-2022-R07 mortgage pool, according to the KBRA, consists of fully documented prime loans “with generally strong credit characteristics” that “exhibit significantly greater geographic diversification” than most title pools. backed by prime residential mortgages (RMBS).
  • “CAS 2022-R07 borrowers have a weighted average credit score (WA) of 748 and a debt-to-income ratio (DTI) WA of 35.2%, which is generally consistent with higher quality underwriting,” notes the KBRA report. . “The pool’s WA LTV and original combined loan-to-value (CLTV) WA are 74.4% and 74.7%, respectively.”
  • Just over 19% of mortgages in the loan pool came from California, with Texas (6.6%); Florida (6.4%); Colorado (4.8%); and Arizona (3.9%) round out the top five states for loans.

Through CAS note offerings, private investors participate with Fannie in sharing a portion of the mortgage credit risk in the benchmark loan pools retained by the agency. Investors receive principal and interest payments on the CAS Notes they purchase, but if credit losses exceed a threshold predefined by the issued security, investors are responsible for absorbing losses above that mark.

CAS 2022-R07, when completed, will represent 51 years of Fannie Maest CAS agreement. The agency will have issued nearly $58 billion in notes and transferred some of the credit risk to private investors on more than $1.8 trillion in single-family mortgages. So far in 2022, the combined seven CAS transactions involve $7.6 billion in note offerings on benchmark loan pools worth a total of $272.6 billion.

Ticket offerings to date have allowed Fannie Mae to meet its anticipated ticket offering goal for the year.

“In 2022, we look forward to bringing [to market] approximately $15 billion in our pending CAS transactions…subject to market conditions and other factors,” Devang Doshi, senior vice president of single-family capital markets at Fannie Mae, said in a statement on the program. CASE.

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