Market updates and sector developments

Fannie Mae has priced a $738m four tranche CAS transaction, its fifth of the year and designated CAS 2023-R05. This trade follows its sixth and seven CIRT credit risk reinsurance deals, announced at the end of last week (SCI 26 June).

The $288.2m M1 tranche, rated A-/A- has been priced at 30-day average SOFR plus 190bp, while the $230.5m M2, rated BBB/BBB= comes in at SOFR plus 310bp.

Further down the stack, the $127.4m B1 is rated BB-/BB+ and is priced to yield SOFR plus 475bp and the $92.2m B2, rated B/BB-, yields SOFR plus 685bp.

The reference pool for CAS 2023-R05 consists of around 64,000 low LTV loans acquired in May and June of 2022.

Simon Boughey