Market updates and sector developments

Fannie Mae has priced its fifth CAS deal of the year – a US$659m REMIC designated CAS 2024-R05. The transaction is underwritten by Wells Fargo and Morgan Stanley.

It consists of two US$283.86m M1 tranches (2A-M1 and 2M-1) rated Aa3/A and A2/A respectively. Both have been priced to yield 100bp over SOFR.

In addition, there is a US$183.47m M2 tranche, rated Baa1/BBB, yielding SOFR plus 170bp and a US$67.59m B1 tranche rated Baa3.BB yielding SOFR plus 200bp.

The reference pool consists of 61,000 single family mortgages with an unpaid principal balance of US$21.5bn. The high LTV loans were acquired between June and December 2023.