Multi-family CAS and last 2023 CIRT for the GSE

Fannie Mae has executed its third multi-family CAS deal and also its ninth and final CIRT trade of the year.

Placed by structuring manager and lead bookrunner Bank of America, the US$595m MCAS 2023-01, consists of 423 multi-family loans with an unpaid principal balance (UPB) of US$24bn.

The US$154.6bn M7 tranche was priced at SOFR plus 400bp and has 3.5% credit support. The US$309m M10 was priced at SOFR plus 650bp and has credit support of 1.5%, while the US$131.9m B1 yields SOFR plus 975bp and has 0.625% credit support.

In addition, and alongside its final single-family CAS of the year priced last week, Fannie has placed US$270.7m of mortgage risk with 21 insurers and re-insurers in CIRT 2023-09 – the last reinsurance deal of the year. The loan pool consists of around 34,000 single-family high LTV loans made between October and December last year with an UPB of $11.5bn.

Fannie retains the first 165bp of risk, but if this US$190m retention layer is burnt through then the insurers cover the next 235bp of loss.