CRT outperforming other RMBS

Freddie Mac HQ from their media resources web site
By Sam Kerr
14 Feb 2017

Fannie Mae and Freddie Mac's credit risk transfer (CRT) programmes have outperformed other non-agency RMBS, with the first loss pieces of recent deals yielding 5% on average in January, according to JP Morgan research.

“Year-to-date returns show the CRT sector on fire with first loss CRT returns roughly 5% in January," said a Friday note from the bank.

The note added that it is difficult to imagine that the sector will continue to outperform the rest of the market, but the analysts ...

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