Fannie Mae Prices Fourth Multifamily Connecticut Avenue Securities Deal

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Jul 22, 2024, 11:00 ET

$250 Million Transaction Complements Fannie Mae's Multifamily Credit Insurance Risk Transfer and Delegated Underwriting and Servicing Loss-Sharing Programs

WASHINGTON, July 22, 2024 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) priced its fourth Multifamily Connecticut Avenue Securities^® (MCAS^™) transaction, MCAS Series 2024-01, a $250 million note offering. MCAS, Fannie Mae's issuance program designed to share credit risk on its multifamily conventional guaranty book of business, complements the successful risk sharing in its Delegated Underwriting and Servicing (DUS^®) and Multifamily Credit Insurance Risk Transfer (MCIRT^™) programs.

"We were pleased with demand across all classes of our fourth MCAS transaction," said Dan Dresser, Senior Vice President, Multifamily Capital Markets and Pricing, Fannie Mae. "We appreciate the participation of our CRT investors and are committed to the MCAS program as a sustainable tool to support our capital management strategy."

The reference pool for MCAS Series 2024-01 consists of 147 multifamily mortgage loans with an outstanding unpaid principal balance of approximately $8.6 billion. The reference pool includes multifamily loans underwritten according to Fannie Mae's standards and acquired by Fannie Mae from January 1, 2023, through December 31, 2023.

The loans included in this transaction are fixed-rate multifamily mortgages with terms less than or equal to 10 years and with unpaid principal balances greater than $35 million, in addition to other select eligibility requirements.

Fannie Mae will retain at least five percent of the underlying credit risk, corresponding to a vertical slice of each of the reference tranches, and will retain the full B-2H first-loss tranche.

Class	Offered Amount ($MM)	Pricing Level	Initial Credit Support (%)¹
M-7	$93.232	30-day average SOFR plus 275 bps	3.500
M-10	$120.653	30-day average SOFR plus 385 bps	1.300
B-1	$35.647	30-day average SOFR plus 675 bps	0.650

¹Based on an allocable portion of $5.8 billion on an aggregate unpaid principal balance of $8.6 billion as of the cut-off date. The allocable portion represents Fannie Mae's credit exposure net of lender loss sharing.

Nomura Securities International Inc. is the lead structuring manager and bookrunner and Wells Fargo Securities, LLC. is the non-structuring lead manager. BofA Securities, Inc., Mizuho Securities USA Inc., and Performance Trust Capital Partners, LLC are co-managers. The selling group member is Academy Securities, Inc.

To support our credit risk transfer capabilities, we publish the Multifamily Loan Performance Data on Data Dynamics^®, which presents loan-level credit performance data on more than 20 years of Fannie Mae multifamily production. This data promotes better understanding of the credit performance of our book of business and gives market participants information to further analyze our loan performance history.

For 35 years, Fannie Mae has successfully shared credit risk with our lender partners through the DUS program, which requires our DUS lenders to retain a portion of credit risk on multifamily loans they deliver to us. In addition to our MCAS program, Fannie Mae continues to transfer mortgage credit risk through its MCIRT reinsurance program.

About Multifamily Connecticut Avenue Securities
MCAS notes are issued by a bankruptcy-remote trust. The amount of periodic principal and ultimate principal paid by Fannie Mae is determined by the performance of a large and diverse reference pool. For more information on individual MCAS transactions, visit our credit risk transfer webpage.

About Fannie Mae
Fannie Mae advances equitable and sustainable access to homeownership and quality, affordable rental housing for millions of people across America. We enable the 30-year fixed-rate mortgage and drive responsible innovation to make homebuying and renting easier, fairer, and more accessible. To learn more, visit:
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Statements in this release regarding the company's future MCAS transactions are forward-looking. Actual results may be materially different as a result of market conditions or other factors listed in "Risk Factors" or "Forward-Looking Statements" in the company's annual report on Form 10-K for the year ended December 31, 2023. This release does not constitute an offer or sale of any security. Before investing in any Fannie Mae issued security, potential investors should review the disclosure for such security and consult their own investment advisors.

SOURCE Fannie Mae