Credit Risk Transfer - Commentary

NAIC Breakpoints for CAS 2019-R02

Fannie Mae announced today that its CAS 2019-R02 transaction has received NAIC breakpoints for the 2019 filing year.

In late 2018, Fannie Mae implemented its CAS REMIC® structure. CAS REMIC transactions are issued out of a bankruptcy remote trust, rather than as direct debt of Fannie Mae. The switch to issuance from a trust necessitated a review of the NAIC modeling process. In 2019, Fannie Mae requested that the NAIC Structured Securities Group (SSG) use the NAIC Approved Modeling Process to develop preliminary NAIC Designations and Breakpoints for a CAS REMIC transaction. Tranches of the CAS 2019-R02 issuance were used for this analysis. This was the first time the NAIC has applied its Approved Modeling Process to a CAS REMIC transaction. Follow the link to view the letter and analysis. Fannie Mae is working with the NAIC to review all other CAS REMIC transactions issued in 2018 and 2019.

The 1M-1 and 1M-2 tranches of the CAS 2019-R02 received the following NAIC Breakpoints for the 2019 filing year:

Deal Note Class CUSIP Type NAIC 1 NAIC 2 NAIC 3 NAIC 4 NAIC 5 Zero Loss
CAS 2019-R02 1M-1 20753KAA0 AVR 100.86 103.04 107.87 119.76 136.05 Yes
CAS 2019-R02 1M-1 20753KAA0 Non-AVR 100.65 101.52 103.36 107.82 125 Yes
CAS 2019-R02 1M-2 20753KAB8 AVR 98.49 100.62 105.34 116.94 132.86 No
CAS 2019-R02 1M-2 20753KAB8 Non-AVR 98.29 99.14 100.93 105.28 122.06 No

Access the full list of CAS 2019-R02 NAIC Breakpoints and the direct debt NAIC Designations for 2019.