Pic© Keith S Brown
Previous Story Next Story
PREMIUM CONTENT
Regular in-depth analysis, in addition to SCI’s usual news stories
To continue, you need to upgrade your subscription to access this article and all Premium content reports.
Existing Subscribers contact Tauseef Asri: ta@structuredcreditinvestor.com
Not yet registered?
High-LTV GSE credit risk transfer (CRT) deals differ from low-LTV ones in more ways than just LTV ratio. While controlling for these differences shows worse delinquencies for high-LTV deals, loss severities are actually better, and therefore high-LTV CRTs could provide compelling opportunities for spread pickup.
When Fannie Mae and Freddie Mac launched their CRT programmes in 2013, reference pools consisted only of mortgages with LTVs of 60%-80%, but both GSEs introduced high-LTV programmes shortly thereafter.
Not yet registered?
