Market updates and sector developments

Fannie Mae’s US$708m CAS 2024 R04, reported to be in the market earlier this week, closed today.

The US$220.4m A1 tranche, rated A+/A+, was priced to yield SOFR plus 100bp, the US$220.4m M1, rated BBB+/A-, yields SOFR plus 110bp, the US$176.3m M2 yields SOFR plus 165bp and the US$90.4m B1 yields SOFR plus 220bp.

Fannie Mae retains a portion of all four tranches and all the B2 and B3 first loss pieces.

The US$18.6bn reference pool comprises mortgages acquired between July and September 2023.

So far this year Fannie has issued US$2.9bn under the CAS programme.