JPMorgan Chase Bank’s third risk-sharing deal involving auto ABS is based on a reference pool of loans with an unpaid principal balance of $3.98 billion. The loans will remain on the bank’s books.
In late 2020, Fannie came back into credit-risk transfers with a bespoke deal with one of its largest nonbank sellers. Freddie continued full speed ahead with more traditional STACR issuance. (Includes data chart.)
Due to COVID-related forbearances, Freddie faced a $2.2 billion increase in its provisions for losses in 2020. However, that expense was more than offset by an across the board increase in revenues.
The latest transaction is an actual loss deal issued through a trust; previous Multifamily Structured Credit Risk deals were structured as fixed-severity deals issued as corporate debt.
The FHFA’s capital requirements include relatively harsh treatment of credit-risk transfer transactions from Fannie and Freddie but that view could change under the Biden administration.
Fannie’s new REMIC election for its multifamily MBS will not change their basic structure. The asset will remain as a single-class pass-through security is-sued through a trust agreement.
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