Analysts suggest that the proprietary credit scores of the GSEs, if released prior to pooling loans into MBS, could serve as the basis for a new category of specified pool.

Mortgage industry analysts ponder the impact of new Fannie Mae and Freddie Mac disclosures on the MBS and credit-risk transfer markets.

Many of those green loans will still be eligible for purchase by the GSEs. Social bonds appear unaffected.

Issuance of spec-pool MBS in the second quarter increased at a faster pace at Freddie than at Fannie. Pools of loans for Florida properties continued to be favored over loans from New York and Texas. (Includes data table.)

Urban Institute researchers say the mortgage industry will experience slightly better capital treatment as a result of the changes to the Basel III Endgame, but they recommend some improvements.

Economists note that the pricing of mortgage credit risk depends not only on the quality of the underlying mortgages but also on who ultimately bears that risk.

MBS investors are likely to charge a pay-up for securities backed by mortgages underwritten with VantageScore — at least until they’re confident prepayment speeds won’t accelerate.

Policies put in place during the pandemic prevent many small banks and credit unions from selling small-balance loans to the GSEs, which constrains mortgage lending in rural and low-income communities.

For MBS investors, the biggest complication in the GSEs’ implementation of VantageScore 4.0 is likely loan-level pricing adjustments.

One of the GSEs has quietly issued an MBS comprised of loans underwritten using VantageScore 4.0.