Fannie Mae Connecticut Avenue Securities Receive Additional Fitch Ratings

Rhea-AI Summary

Fannie Mae has received new credit ratings for its previously unrated Connecticut Avenue Securities (CAS) notes, increasing their market eligibility and liquidity potential. The ratings reflect improved credit protection and performance of the underlying assets, attributed to enhanced loan performance and home price appreciation, resulting in lower expected losses. With 44 CAS deals and over $50 billion issued, Fannie Mae has effectively transferred a substantial amount of credit risk. This move aims to foster growth in the secondary market.

Positive

• Received additional ratings for previously unrated CAS notes, enhancing liquidity.
• Improved credit protection and loan performance since the pandemic onset.
• Over $50 billion issued in notes, showcasing strong market presence.

Negative

• None.

WASHINGTON, Jan. 18, 2022 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) sought and received additional ratings for a number of previously unrated Connecticut Avenue Securities^® (CAS) notes as part of its ongoing effort to bring increased transparency and liquidity to these securities. With the new credit ratings, these CAS notes may be eligible to be purchased in the secondary market by funds that require a rating for investment, and the notes are now likely to receive more favorable financing terms, further enhancing their liquidity.

Fannie Mae sought and received additional ratings for a number of previously unrated CAS notes.

"The new ratings demonstrate the strong performance of the underlying collateral of our Connecticut Avenue Securities program and the strength of Fannie Mae's credit risk management processes," said Devang Doshi, Senior Vice President, Single-Family Capital Markets, Fannie Mae.

"The credit ratings on these notes reflect materially better credit protection and improving loan performance, which has reduced credit risk since the onset of the pandemic. In addition, home price appreciation has led to a build-up of borrower equity resulting in lower expected losses," said Kevin Kendra, Managing Director, Fitch Ratings.

Fitch Ratings has assigned ratings to the following Connecticut Avenue Securities notes:

Deal	Note Class	CUSIP	Rating
CAS 2017-C01 Group 1	1B1	30711XEQ3	BBB+ sf
CAS 2017-C02 Group 2	2B1	30711XGQ1	BB+ sf
CAS 2017-C04 Group 2	2B1	30711XLU6	BB sf
CAS 2017-C06 Group 1	1B1	30711XQW7	BB+ sf
CAS 2017-C06 Group 2	2B1	30711XSW5	BB sf
CAS 2017-C07 Group 1	1B1	30711XUW2	BB+ sf
CAS 2017-C07 Group 2	2B1	30711XWW0	BB sf
CAS 2018-C01 Group 1	1B1	30711XYW8	BB+ sf
CAS 2018-C02 Group 2	2B1	30711XC44	BB- sf
CAS 2018-C03 Group 1	1B1	30711XJ62	BB sf
CAS 2018-C04 Group 2	2B1	30711XR30	B sf
CAS 2018-C05 Group 1	1B1	30711XY32	BB- sf
CAS 2018-C06 Group 1	1B1	30711X3M4	B+ sf
CAS 2018-C06 Group 2	2B1	30711X5V2	B- sf
CAS 2018-R07 Group 1	1B1	20753QAF6	B sf
CAS 2019-R01 Group 2	2B1	20754FAL6	B- sf

The full Fitch Ratings release can be found here.

Fannie Mae has brought 44 CAS deals to market, issued over $50 billion in notes, and transferred a portion of the credit risk to private investors on over $1.6 trillion in single-family mortgage loans, measured at the time of the transaction.

Since 2013, Fannie Mae has transferred a portion of the credit risk on single-family mortgages with an unpaid principal balance close to $2.4 trillion through its credit risk transfer efforts, including CAS, Credit Insurance Risk Transfer™ (CIRT™), and other forms of risk transfer.

About Connecticut Avenue Securities
CAS REMIC 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 our approach to credit risk management, individual CAS transactions, and EU and UK investor resources, visit our credit risk transfer website.

About Fannie Mae
Fannie Mae helps make the 30-year fixed-rate mortgage and affordable rental housing possible for millions of people in America. We partner with lenders to create housing opportunities for people across the country. We are driving positive changes in housing finance to make the home buying process easier, while reducing costs and risk. To learn more, visit:
fanniemae.com | Twitter | Facebook | LinkedIn | Instagram | YouTube | Blog

Fannie Mae Newsroom
https://www.fanniemae.com/newsroom

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Fannie Mae Resource Center
1-800-2FANNIE

Statements in this release regarding the company's future CAS 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, 2020. 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.

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SOURCE Fannie Mae

FAQ

What new ratings did Fannie Mae receive for Connecticut Avenue Securities on January 18, 2022?

Fannie Mae received additional credit ratings for a number of previously unrated Connecticut Avenue Securities (CAS) notes, which enhances their market eligibility.

How do the new ratings impact Fannie Mae's CAS notes?

The new ratings allow CAS notes to be purchased in the secondary market by funds that require a rating, likely leading to more favorable financing terms.

What is the significance of the recent ratings for Fannie Mae investors?

The improved ratings indicate better credit protection and reduced expected losses due to enhanced loan performance and home price appreciation, positively impacting investor confidence.

How much credit risk has Fannie Mae transferred?

Since 2013, Fannie Mae has transferred a portion of credit risk on approximately $2.4 trillion in single-family mortgages through various risk transfer efforts.

What are the benefits of the new credit ratings for CAS notes?

The ratings may lead to increased liquidity and more favorable financing conditions for the previously unrated CAS notes.