Press Release

DBRS Releases Special Report on GSE Credit Risk Transfer Collateral and Performance Analysis

RMBS
May 24, 2017

DBRS, Inc. (DBRS) has today released a special report that reviews the collateral and performance trends in the credit risk transfer (CRT) securitizations issued by Fannie Mae and Freddie Mac (collectively, the GSEs).

In this special report, DBRS
-- Summarizes loan characteristics of the CRT securitizations issued by the GSEs, including Fannie Mae’s Connecticut Avenue Securities (CAS) and Freddie Mac’s Structured Agency Credit Risk (STACR) transactions;
-- Analyzes collateral trends of key indicators at issuance such as weighted-average credit scores, debt-to-income ratios, original loan-to-value ratios (LTV) and percentages of purchase money loans and investor-owned properties in the CAS and STACR securitizations for both the 60.01% to 80.00% LTV and 80.01% to 97.00% LTV populations;
-- Highlights its observations on collateral migration and loan performance trends as reflected in delinquencies, credit events and prepayment speeds; and
-- Provides a summary of DBRS rating actions on the outstanding CAS and STACR securitizations.

Notes:
The full report providing additional detail is available by clicking on the link under Related Research at the right of the screen or by contacting us at info@dbrs.com.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.