The leading originators for the loans in the offering and the percentage of loans originated in the reference pool are United Wholesale Mortgage, 8.7%; Pennymac, 7%; Rocket Mortgage, 6%; and Wells Fargo, 3.7%.
The loans in the reference pool have an average balance of $303,100, the KBRA report shows, with the maximum loan balance exceeding $1 million. The KBRA report also notes that only 4.1% of the loans in the reference pool were granted appraisal wavers.
By contrast, in Fannie’s CAS credit-risk transfer (CRT) offering in early April, CAS 2022-R04, 32% of the loans in the reference pool were granted appraisal wavers. That resulted in KBRA applying “a broad valuation haircut” to those loans, according to the bond-rating firm’s presale report on that CRT deal.
Earlier this year, a Fannie executive said the agency, subject to market conditions, expects to issue $15 billion in notes through CAS transactions in 2022. This latest deal will bring the agency to about $6 billion in CAS notes issued to date.
The initial Fannie CRT deal of 2022, CAS 2022-R01, involved a $1.5 billion note issued against a reference loan pool of 180,002 residential mortgages with an outstanding principal balance of $53.7 billion.
CAS Series 2022- R02, the second offering this year, involved transferring loan-portfolio risk to private investors via a $1.2 billion note offering backed by a reference pool of 149,393 residential mortgage loans valued at $44.3 billion.
CAS 2022-R03 involved transferring a portion of the agency’s loan-portfolio risk through a $1.24 billion note offering backed by a reference loan pool of 150,395 primarily single-family mortgages valued at $44.4 billion.
CAS 2022-R04, which closed last month, was a $1.14 billion note offering backed by a reference pool of some 118,000 single-family mortgages valued at $36 billion.
With the completion of this fifth transaction, Fannie Mae will have brought 49 CAS deals to market, issued more than $56 billion in notes, and transferred a portion of the credit risk to private investors on more than $1.8 trillion in single-family mortgage loans, according to Fannie Mae’s tally of deals.