With interest rates rising, investors want higher premiums on credit-risk transfers. And that makes the transactions less economically appealing for Fannie Mae and Freddie Mac. (Includes data chart.)

The rating service said both technicals and fundamentals in the mortgage market appear more resilient to stress than in previous crises, while highlighting some vintage differences.

Much like the GSEs, banks have the ability to share credit risk on a pool of assets. However, bank CRT issuance has been limited thus far as industry participants wait for an endorsement from banking regulators.

For the first time, Freddie Mac is attempting to buy back certain uneconomical STACRs without offering a premium.

Pacific Western Bank started acquiring residential mortgages in March 2021. PacWest is now done acquiring loans and looking to share credit risk on a pool with an unpaid principal balance of $2.68 billion.

Fannie and Freddie issued a combined $17.57 billion in CAS and STACR certificates in the first half of 2022, more than in any full year since CRT was invented. (Includes data chart.)

Much like in other parts of the MBS and ABS markets, spreads are widening on CRT issuance from the GSEs, prompting some changes in activity at Fannie Mae and Freddie Mac.

Investors tendered debt notes worth slightly more than 82% of the original principal amount.

Western Alliance Bank completes non-agency CRT deal; CME Group plans TBA futures; Hertz ABS upgraded thanks to change involving Teslas.

The REIT has built up strong residential and MSR businesses to diversify risk and support its agency prowess. And while it’s held back on increasing leverage, once volatility declines, all that may change.