Fannie Mae Provides Additional Details on Replacement Indices for Single-Family Legacy LIBOR-Indexed ARM MBS
Updated as of March 8, 2023
Today, Fannie Mae is providing more granular information in the table below regarding the replacement indices for its legacy Single-Family mortgage-backed securities (MBS), including Fannie Megas®, indexed to LIBOR. The replacement indices are published by Refinitiv here. This comes as a follow-up to the announcement on December 22, 2022.
As announced in December, Multifamily MBS, Single-Family and Multifamily Credit Risk Transfer (CRT) securities and Single-Family and Multifamily Collateralized Mortgage Obligations (CMOs) will transition to the 30-day Average SOFR + Tenor Spread Adjustment. Additional details on these products will be provided at a later date.
| Single-Family LIBOR-Indexed ARM MBS |
|---|
| LIBOR Index | Index Code(s) | Replacement Index Name | Refinitiv Instrument Code (RIC) | Replacement Index Details | Rate | Feature |
| 1-Month | 35 | Refinitiv USD IBOR Consumer Cash Fallback 1-Month | USDCFCFCTSA1M= | 1-Month CME Term SOFR + Transition Tenor Spread Adjustment | All-In | No floor |
| 6-Month | 42 43 44 |
Refinitiv USD IBOR Consumer Cash Fallback 6-Month | USDCFCFCTSA6M= | 6-Month CME Term SOFR + Transition Tenor Spread Adjustment | All-In | No floor |
| 1-Year | 37 38 |
Refinitiv USD IBOR Consumer Cash Fallback 12-Month | USDCFCFCTSA1Y= | 12-Month CME Term SOFR + Transition Tenor Spread Adjustment | All-In | No floor |
Additionally, today Fannie Mae updated its LIBOR Transition Playbook and FAQs with new details related to the transition of legacy LIBOR products.
Note: On March 8, 2023, for all three LIBOR indices listed in the above table, Fannie Mae removed "CME Term SOFR" from the Replacement Index Name and added an equal sign to the end of the Refinitiv Instrument Code (RIC).
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