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Press Release

Fannie Mae Prices Second Multifamily Connecticut Avenue Securities Deal

March 10, 2020

$425.6 Million Transaction Complements Fannie Mae's Multifamily Credit Insurance Risk Transfer and Delegated Underwriting and Servicing Loss-Sharing Programs

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) today announced that it priced its second Multifamily Connecticut Avenue Securities® (MCAS) transaction as part of the company's ongoing efforts to expand the types of loans covered and promote the continued growth of the credit risk transfer market. MCAS Series 2020-01 is a $425.6 million note offering that complements Fannie Mae's Delegated Underwriting and Servicing (DUS®) and Multifamily Credit Insurance Risk Transfer (MCIRT) programs.

"We are excited to bring to market the second MCAS transaction," said Dan Dresser, Senior Vice President, Multifamily Capital Markets and Pricing, Fannie Mae. "The MCAS program provides us a sustainable and scalable way to manage capital as well as promote the continued growth of the credit risk transfer market. We are pleased to see positive market reception, especially given the recent market volatility."

The reference pool for MCAS Series 2020-01 consists of approximately 218 multifamily mortgage loans with an outstanding unpaid principal balance of approximately $12 billion. The reference pool includes first-lien multifamily loans underwritten according to Fannie Mae’s standards and acquired by Fannie Mae from January 1, 2019, through June 30, 2019.

The loans included in this transaction are a combination of fixed-rate and adjustable-rate multifamily mortgages with unpaid principal balances equal to or greater than $30 million and that have terms less than or equal to 12 years, in addition to other select eligibility requirements.

Fannie Mae will retain a portion of the M-7, M-10, and C-E reference tranches in order to align its interests with investors throughout the life of the offering. Fannie Mae will retain the first loss tranche.

Class Offered Amount ($MM) Pricing Level Expected Initial Credit Support (%)1
M-7 $43.2 1-month Libor plus 195 bps 4.793
M-10 $339.8 1-month Libor plus 375 bps 1.200
C-E $42.5 1-month Libor plus 750 bps 0.750

1 Based on an allocable portion of $10 billion on an aggregate unpaid principal balance of $12 billion as of the cut-off date. The allocable portion represents Fannie Mae's credit exposure net of DUS lender loss sharing.

Credit Suisse is the lead structuring manager and bookrunner and BofA Securities, Inc. is the non-structuring lead manager. Nomura Securities and Goldman Sachs are co-managers. The selling group member is CastleOak Securities, L.P.

For more than 30 years, Fannie Mae has successfully shared credit risk with our lender partners through the Delegated Underwriting and Servicing (DUS) program, which requires our DUS lenders to retain a portion of credit risk on multifamily loans they deliver to us. To complement the DUS program, we introduced our Multifamily Credit Insurance Risk Transfer (MCIRT) program in June 2016 to transfer a portion of the credit risk, post acquisition, on multifamily mortgages to reinsurer and insurer counterparties.

In 2019, to support our growing credit risk transfer capabilities, we published the Multifamily Loan Performance Data on our website, which presents loan level credit performance data on 19 years of Fannie Mae multifamily production. Providing this data promotes better understanding of the credit performance and gives market participants information to further analyze our loan performance history.

More information on Fannie Mae's credit risk transfer activities is available at:

About Fannie Mae
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