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Fannie Mae Prices First Credit Risk Sharing Transaction Under Actual Loss Framework 

October 23, 2015

DS News

Fannie Mae announced on Wednesday the pricing of the latest risk sharing transaction under the Connecticut Avenue Securities (CAS) Series at $1.45 billion. The latest transaction is Fannie Mae’s ninth under the CAS Series and first CAS transaction structured for an actual loss framework.

The standard for the CAS program going forward will be transactions structured using an actual loss framework, according to Fannie Mae. This transaction, CAS Series 2015-C04, is scheduled to settle on October 27.

“The move to an actual loss structure for CAS places even greater importance on how Fannie Mae manages credit risk, as investors now directly benefit from our comprehensive credit risk management approach,” said Laurel Davis, VP for credit risk transfer at Fannie Mae. “Because we are actively involved from pre-loan delivery through property disposition, investors have greater confidence in the loans in the CAS reference pools and their opportunity to invest in them. The fact that we are setting strong standards and managing the credit risk of loans throughout the lifecycle has helped investors become comfortable and re-enter the residential credit market. We look forward to another strong year for the CAS program in 2016.”

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