Fannie Mae is marketing its first offering of the year of Connecticut Avenue Securities, which offload some of credit risk of mortgage that it insures, according to rating agency reports.
The Series 2016-C01 is the government-sponsored enterprise’s 10th credit risk sharing transaction under the CAS shelf, and the second offering exposure to actual losses, as opposed to estimated loses.
Fannie Mae will issue two sets of notes that are general obligations but whose payments will be subject to the credit performance of two separate pools of loans acquired between January 1, 2015 and February 28, 2015 and subsequently securitized.
The first loan group comprises 80,606 mortgages totaling $19 billion that have loan-to-value ratios of between 60% and 80%. Approximately 8.45% of the loans possessed subordinate financing at origination, resulting in a weighted average combined loan-to-value ratio of 76.23%. The borrowers in this group have a weighted average credit score of 749 and debt-to-income ratio of 34.23%, which are consistent with prime-quality underwriting.
The second loan group 2 consists of 47,896 mortgages totaling $10.8 billion with a weighted average LTV of between 80% and 97%. Approximately 0.62% of the loans possessed subordinate financing at origination, resulting in a CLTV ratio of 91.67%. The borrowers in this group a weighted average credit score of 744 and DTI ratio of 34.91%, which are consistent with prime-quality underwriting. Additionally, all the mortgages are covered by private mortgage insurance.
Both groups consist fully documented, fully amortizing, floating-rate, 30-year loans and have the biggest geographic concentrations in California, Texas, and Florida and have the same three top originators, Wells Fargo, Quicken Loans and JP Morgan Chase Bank.
Kroll has assigned a ‘BBB’ rating to $207.57 million of senior notes linked to the performance of the lower LTV mortgages and a ’BBB-‘ to $113.15 million of senior notes linked to the performance of the higher LTV mortgages.