Fitch Analyzes GSE U.S. Mortgage Credit Risk As Risk Sharing Nears
Link to Fitch Ratings' Report: GSE Mortgage Credit Risk Analysis
U.S. mortgage loans recently acquired by Fannie Mae and Freddie Mac will
outperform historical levels, according to Fitch Ratings in a new report.
With plans of engaging in credit risk transfer transactions in the
works, the GSEs have publicly released for the first time ever
historical mortgage loan-level credit performance data. The risk-sharing
transactions will allow the GSEs to sell credit risk to the private
market and to gradually reduce their dominant role in housing finance.
Fitch has completed an analysis of the historical data to help investors
evaluate upcoming credit-sensitive securitization proposals from the
GSEs, becoming the first rating agency to publicly release its results.
The analysis uncovered several notable credit trends, most obviously an
improvement in credit quality in recent vintages.
'Similar to what we've observed in the private market, post-crisis GSE
originated loans have recorded strong performance to date,' said
Managing Director Rui Pereira. 'The recent performance reflects both
better credit quality and improved underwriting controls.'
In the report, Fitch compares the agency performance to non-agency prime
jumbo collateral and offers indicative default expectations for a
hypothetical pool of newly originated agency loans.
Fitch's 'GSE Mortgage Credit Risk Analysis' is available at 'www.fitchratings.com'
or by clicking on the above link.
Additional information is available at 'www.fitchratings.com'.
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