The performance of mortgages linked to Fannie Mae and Freddie Mac's risk-sharing deals has been positive so far, according to a new Fitch Ratings monthly report.
"Since the first risk-sharing transaction was issued last year, issuance has been steady and performance has been excellent," said managing director at Fitch Grant Bailey in a press release today.
Agency mortgages included in recent reference pools have better credit attributes than historical averages —even compared with strong-performing vintages, such as those prior to 2005. The risk share MBS have weighted average FICO scores of 764 compared with FICO scores of 716 on strong-performing vintages.
“The clean payment behavior to date reflects the high credit quality of the borrowers,” said Bailey.
Delinquency rates on the deal are “paltry”, according to Bailey. Of the mortgage loans included in the transactions issued to date, only 23 bps are currently delinquent. The chart below shows the total deqlnquency ratesof the six transcations issued to date.
The GSEs have completed six transactions since July 2013. Both Fannie Mae and Freddie Mac are expected to issue the credit-linked notes on a quarterly basis.
Freddie Mac has issued two deal in 2014 under its STACR series. In early April it priced its second offering of STACR risk sharing notes.
In addition to the two Freddie Mac deals, Fannie Mae priced its $750 million CAS 2014-C01 deal in January. According to a Reuters report, Fannie Mae is planning to issue its second second risk-sharing MBS of 104, in mid-May. The new deal is expected to have a higher LTV of 80% compared to the 76% LTV on Freddie Mac’s recent deal.