Credit Risk Transfer - Commentary

NAIC Update on CAS 2019-R02

Fannie Mae has requested that the National Association of Insurance Commissioners (NAIC) Structured Securities Group (SSG) use the NAIC Approved Modeling Process to develop preliminary NAIC Designations and Breakpoints for tranches of the CAS 2019-R02 issuance. This is the first time the NAIC has applied its approved modeling process to a CAS REMIC transaction. Please follow the link to view the letter and analysis.

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