Connecticut Avenue Securities receives NAIC designations on actual loss transactions

The National Association of Insurance Commissioners (NAIC) has released designations on Fannie Mae’s deals under its Connecticut Avenue Securities^™ (CAS) series and for the first time has assigned designations to six of our actual loss CAS deals. The two most recently issued CAS transactions are expected to be modeled in January.

Fannie Mae’s CAS 2015-C04 through 2016-C05 CAS deals under the actual loss framework received NAIC designations for the NAIC’s 2016 filing year. All M-1 bonds, both in Group 1^[1] and Group 2^[2] deals, received a designation of NAIC 1. The substantial majority of M-2 bonds received a designation of either NAIC 1 or NAIC 2.

In addition, all of Fannie Mae’s CAS deals under the fixed severity framework reviewed in the 2016 filing year received NAIC designations of NAIC 1.

The following bonds in our CAS series under the actual loss framework received an NAIC designation for the 2016 filing year.

All bonds in our CAS series under the fixed severity framework reviewed in the 2016 filing year are listed below for reference and received an NAIC designation of 1.

The NAIC’s Structured Securities Group (SSG) describes its designations on its webpages. An NAIC 1 obligation should be eligible for the most favorable treatment provided under the NAIC Financial Conditions Framework, while an NAIC 2 obligation should be eligible for relatively favorable treatment under the NAIC Financial Conditions Framework.^[i]

The National Association of Insurance Commissioners 2016 Mortgage Reference Securities Report is not a substitute for or functional equivalent of the credit ratings of rating agencies and is not produced to permit investors to compare the likelihood of default or of full and timely payment between one or more securities.

^[1] Original loan-to-value (LTV) ratios of 60.00 – 80.00%

^[2]Original LTV ratios of 80.01 – 97.00%

^[i] The NAIC's SSG is responsible for the day-to-day credit quality assessment and valuation of securities owned by state regulated insurance companies. The SVO conducts credit analysis on these securities for the purpose of assigning an NAIC designation and/or unit price.