Fannie Mae Prices Third Multifamily Connecticut Avenue Securities Deal

Rhea-AI Summary

Fannie Mae (OTCQB: FNMA) returns to the market with its third Multifamily Connecticut Avenue Securities® (MCAS™) transaction, MCAS Series 2023-01, a $595 million note offering. The MCAS program shares credit risk on Fannie Mae's multifamily conventional guaranty book of business, complementing its Delegated Underwriting and Servicing (DUS®) and Multifamily Credit Insurance Risk Transfer (MCIRT™) programs. The reference pool for MCAS Series 2023-01 consists of 432 multifamily mortgage loans with an outstanding unpaid principal balance of approximately $24 billion. 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. BofA Securities, Inc. is the lead structuring manager and bookrunner, and Nomura Securities International Inc. is the non-structuring lead manager.

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Fannie Mae Returns to Market with $595 Million Transaction, Complementing Other Multifamily Credit Risk Sharing Programs

WASHINGTON, Nov. 20, 2023 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) priced its third Multifamily Connecticut Avenue Securities^® (MCAS^™) transaction, MCAS Series 2023-01, a $595 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 excited to return to the market with our third MCAS transaction," said Dan Dresser, Senior Vice President, Multifamily Capital Markets and Pricing, Fannie Mae. "We are committed to the MCAS program as a sustainable tool to support our strategy around capital management and, subject to market conditions, expect to return to this market annually with collateral from the previous year of acquisitions."

The reference pool for MCAS Series 2023-01 consists of 432 multifamily mortgage loans with an outstanding unpaid principal balance of approximately $24 billion. The reference pool includes multifamily loans underwritten according to Fannie Mae's standards and acquired by Fannie Mae from January 1, 2021, through December 31, 2022.

The loans included in this transaction are fixed-rate multifamily mortgages with terms less than or equal to 12 years and with unpaid principal balances greater than $30 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	$154.581	30-day average SOFR plus 400 bps	3.500
M-10	$309.162	30-day average SOFR plus 650 bps	1.500
B-1	$131.394	30-day average SOFR plus 975 bps	0.650

1Based on an allocable portion of $16 billion on an aggregate unpaid principal balance of $24 billion as of the cut-off date. The allocable portion represents Fannie Mae's credit exposure net of lender loss sharing.

BofA Securities, Inc. is the lead structuring manager and bookrunner and Nomura Securities International Inc. is the non-structuring lead manager. J.P. Morgan Securities LLC, Wells Fargo Securities, LLC, and Mizuho Securities USA Inc. are co-managers. The selling group member is African-American & women-owned Siebert Williams Shank & Co., LLC.

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:
fanniemae.com | Twitter | Facebook | LinkedIn | Instagram | YouTube | Blog

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

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Fannie Mae Resource Center
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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, 2022. 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 is the MCAS Series 2023-01 transaction about?

The MCAS Series 2023-01 is a $595 million note offering by Fannie Mae that shares credit risk on its multifamily conventional guaranty book of business.

How many multifamily mortgage loans are included in the reference pool for MCAS Series 2023-01?

The reference pool consists of 432 multifamily mortgage loans with an outstanding unpaid principal balance of approximately $24 billion.

Who are the lead structuring manager and bookrunner for the MCAS Series 2023-01 transaction?

BofA Securities, Inc. is the lead structuring manager and bookrunner, and Nomura Securities International Inc. is the non-structuring lead manager.

What is the purpose of Fannie Mae's MCAS program?

The MCAS program is designed to share credit risk on Fannie Mae's multifamily conventional guaranty book of business, complementing its Delegated Underwriting and Servicing (DUS®) and Multifamily Credit Insurance Risk Transfer (MCIRT™) programs.