Fannie Mae Consolidates Index Codes and Subtypes for Certain Single-Family ARM MBS

March 13, 2023

Updated as of April 11, 2023

Today, Fannie Mae announced it will consolidate similar index codes and subtypes of certain Single-Family Adjustable-Rate Mortgage (ARM) Mortgage-Backed Securities (MBS) indexed to LIBOR. Existing index codes with the same underlying index will be combined into one existing index code; similarly, subtypes with matching characteristics (e.g., index, initial period, cap structure, adjustment frequency, convertibility feature, prepayment penalty, interest-only feature, etc.) will be combined into one existing subtype. This consolidation allows investors to more easily group similar MBS to form Fannie Megas® (Megas)1. These changes will be reflected in PoolTalk® and on the MBS disclosure files published on April 6th (BD4). For a list of the affected MBS pools see this spreadsheet.

Securities indexed to LIBOR are not currently eligible collateral to form Megas; however, once Single-Family legacy LIBOR-indexed ARM MBS transition to Refinitiv USD IBOR Consumer Cash Fallback Indices following LIBOR's cessation after June 30, 2023, they will be permitted to form Megas.

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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.

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