The GSE CRT portfolios enhance the arrears in comparison with the earlier month

The monthly arrears in the reference pools that support the Fannie Mae and Freddie Mac credit risk transfer programs showed a notable improvement in the newly released monthly reports, according to DBRS Morningstar.

The December monthly statements, which show default rates for Freddie's Structured Agency Credit Risk (STACR) reference pools, were "generally lower" during the November activity period, DBRS told Morningstar in a report released Wednesday.

Fannie's Connecticut Avenues Securities (CAS) were also "largely improved" in October, the last available period of activity for CAS pools. (Fannie's CRT coverage is a month behind Freddie's, according to the agency.)

Of 39 CAS transactions tracked by the agency, almost all of the arrears between 2016 and 2020 saw a 2% to 6% decrease (with an average decrease of 18 basis points) in the December reporting period, which is the second straight month with a decrease represents deliques.

Several CAS deals from 2013 and 2014 show a much lower crime rate overall.

DBRS Morningstar reported details of 54 STACR transactions, which showed an average decrease in the deliquancy rate from 5.21% for the reporting period to 5.04% in November.

The monthly reports provide details of delinquency levels from 30 days to over 180 days, with the latter containing most of the total delinquency pipeline due to ongoing leniency and moratorium programs that limit the naming of late wages on previous delinquency periods.

"The arrears of experienced deals, especially the earliest fixed severity reference pools (which continue to exist)
See Credit Event Loans Leaving DQ Pipeline), remain significantly lower than later deal vintages, "added DBRS Morningstar." Deal years 2018-19 continue to have the highest arrears on average in all reference pools. "

On the CRT shelves of both agencies, the partial risk from GSE-guaranteed loans is transferred to private investors. Since 2013, Freddie Mac has transferred some of the credit risk to unpaid capital of approximately $ 1.6 trillion for single-family mortgages, in which an institutional investor base of approximately 250 companies participates. Fannie has partially raised about $ 1.5 trillion in unpaid mortgage balances for the private market.

Related Articles