Fannie Mae Provides Details on Replacement Rates for Legacy LIBOR-Indexed CMOs, CRT Securities, and Multifamily MBS
Today Fannie Mae is providing details in the table below regarding the replacement indices for legacy LIBOR-indexed Multifamily adjustable-rate mortgage (ARM) mortgage-backed securities (MBS), Single-Family and Multifamily Collateralized Mortgage Obligations (CMOs), and Single-Family and Multifamily Credit Risk Transfer (CRT) securities. This comes as a follow-up to the communication on December 22, 2022, when the 30-day Average SOFR + Tenor Spread Adjustment was announced as the replacement for the legacy products listed above.
As a reminder, Fannie Mae will not take any steps to convert existing 30-day Average SOFR-indexed floating-rate loans or securities to term SOFR. The preceding sentence applies to the following products: Multifamily ARMs and related MBS, Single-Family and Multifamily CRT securities, Single-Family and Multifamily CMOs, Stripped MBS (SMBS), and any other new floating rate loans or securities (excluding Single-Family ARMs and related MBS).
Additionally, the week of May 8, Fannie Mae will publish a downloadable spreadsheet listing the CUSIPs of each legacy LIBOR-indexed security impacted by the LIBOR cessation, specifically: legacy Single-Family and Multifamily ARM MBS, Single-Family and Multifamily CMOs, and Single-Family and Multifamily CRT securities.
| Product Type | LIBOR Index | Subtype | Replacement Index Name | Tenor Spread | All-In Replacement Rate Calculation | Rate | Feature |
|---|---|---|---|---|---|---|---|
| Multifamily ARM MBS | 1-Month | T9NW T9SW T9TW T9UF |
30-Day Average SOFR + 1-Month Spread Adjustment | 0.11448% | 30-Day Average SOFR + 0.11448% | Compound in Advance | All-In |
| 6-Month | MMHW MMJW 45NW 45PW |
30-Day Average SOFR + 6-Month Spread Adjustment | 0.42826% | 30-Day Average SOFR + 0.42826% | Compound in Advance | All-In | |
| Single-Family and Multifamily CMOs | 1-Month |
n/a |
30-Day Average SOFR + 1-Month Spread Adjustment | 0.11448% | 30-Day Average SOFR + 0.11448% | Compound in Advance | All-In |
| 1-Year | n/a | 30-Day Average SOFR + 12-Month Spread Adjustment | 0.71513% | 30-Day Average SOFR + 0.71513% | Compound in Advance | All-In | |
| Single-Family and Multifamily CRT Securities | 1-Month |
n/a |
30-Day Average SOFR + 1-Month Spread Adjustment | 0.11448% | 30-Day Average SOFR + 0.11448% | Compound in Advance | All-In |
Fannie Mae has also updated its LIBOR Transition Playbook and FAQs.
Questions?
Contact us
This announcement does not constitute an offer to sell or the solicitation of an offer to buy securities of Fannie Mae. Nothing in this announcement constitutes advice on the merits of buying or selling a particular investment. Any investment decision as to any purchase of securities referred to herein must be made solely on the basis of information contained in Fannie Mae's applicable Prospectus and the Prospectus Supplement and the related legal documentation, and no reliance may be placed on the completeness or accuracy of the information contained in this announcement.
You should not deal in securities unless you understand their nature and the extent of your exposure to risk. You should be satisfied that they are suitable for you in light of your circumstances and financial position. If you are in any doubt you should consult an appropriately qualified financial advisor.