Thursday, January 26, 2017 6:30:00 PM
This is just an update to it but it covers the gist of it from what I can tell. I got it from Scottrade and all links take it to my account so I did not copy and paste. LOL I copied the Fitch link and I had to have an account with them so this is what you get. 
Press Release: Fitch Rates Fannie Mae's -2-
38 minutes ago - DJNF
Advantageous Payment Priority (Positive): The 1M-1 class strongly benefits from the sequential pay structure and stable CE provided by the more junior 1M-2A, 1M-2B, 1M-2C and 1B-1 classes, which are locked out from receiving any principal until classes with a more senior payment priority are paid in full. However, available CE for the junior classes as a percentage of the outstanding reference pool increases in tandem with the paydown of the 1M-1 class. Given the size of the 1M-1 class relative to the combined total of all the junior classes, together with the sequential pay structure, the class 1M-1 will de-lever and CE as a percentage will build faster than in a pro rata payment structure.
Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 1A-H senior reference tranches, which have an initial loss protection of 3.75%, as well as 100% of the first loss 1B-2H reference tranche, sized at 50 basis points (bps). Fannie Mae is also retaining an approximately 5% vertical slice/interest in the 1M-1, 1M-2A, 1M-2B and 1M-2C tranches and roughly 45% of the 1B-1 tranche.
Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in our current rating of Fannie Mae. However, if, at some point, Fitch views the support as being reduced and receivership likely, the ratings of Fannie Mae could be downgraded and the 1M-1, 1M-2A, 1M-2B and 1M-2C notes' ratings affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MDVs of 10%, 20%, and 30%, in addition to the model-projected 24.2% at the 'BBBsf' level and 19.4% at the 'BBsf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 34% would potentially reduce the 'BBBsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Adfitech, Inc. The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. Adfitech examined selected loan files with respect to the presence or absence of relevant documents. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certifications also stated that the company performed its work in accordance with the independence standards, per Fitch's criteria, and that the due diligence analysts performing the review met Fitch's criteria of minimum years of experience. Fitch considered this information in its analysis and the findings did not have an impact on the analysis.
The offering documents for CAS 2017-C01 do not disclose any representations, warranties, or enforcement mechanisms (RW&Es) that are available to investors and which relate to the underlying asset pools. Please see Fitch's Special Report for further information regarding Fitch's approach to the disclosure of a transaction's RW&Es as required under SEC Rule 17g-7.
Contact:
Press Release: Fitch Rates Fannie Mae's -2-
38 minutes ago - DJNF
Advantageous Payment Priority (Positive): The 1M-1 class strongly benefits from the sequential pay structure and stable CE provided by the more junior 1M-2A, 1M-2B, 1M-2C and 1B-1 classes, which are locked out from receiving any principal until classes with a more senior payment priority are paid in full. However, available CE for the junior classes as a percentage of the outstanding reference pool increases in tandem with the paydown of the 1M-1 class. Given the size of the 1M-1 class relative to the combined total of all the junior classes, together with the sequential pay structure, the class 1M-1 will de-lever and CE as a percentage will build faster than in a pro rata payment structure.
Solid Alignment of Interests (Positive): While the transaction is designed to transfer credit risk to private investors, Fitch believes that it benefits from a solid alignment of interests. Fannie Mae will be retaining credit risk in the transaction by holding the 1A-H senior reference tranches, which have an initial loss protection of 3.75%, as well as 100% of the first loss 1B-2H reference tranche, sized at 50 basis points (bps). Fannie Mae is also retaining an approximately 5% vertical slice/interest in the 1M-1, 1M-2A, 1M-2B and 1M-2C tranches and roughly 45% of the 1B-1 tranche.
Receivership Risk Considered (Neutral): Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae; this is reflected in our current rating of Fannie Mae. However, if, at some point, Fitch views the support as being reduced and receivership likely, the ratings of Fannie Mae could be downgraded and the 1M-1, 1M-2A, 1M-2B and 1M-2C notes' ratings affected.
RATING SENSITIVITIES
Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction.
This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MDVs of 10%, 20%, and 30%, in addition to the model-projected 24.2% at the 'BBBsf' level and 19.4% at the 'BBsf' level. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection.
Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 11% and 34% would potentially reduce the 'BBBsf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively.
DUE DILIGENCE USAGE
Fitch was provided with due diligence information from Adfitech, Inc. The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. Adfitech examined selected loan files with respect to the presence or absence of relevant documents. Fitch received certifications indicating that the loan-level due diligence was conducted in accordance with Fitch's published standards. The certifications also stated that the company performed its work in accordance with the independence standards, per Fitch's criteria, and that the due diligence analysts performing the review met Fitch's criteria of minimum years of experience. Fitch considered this information in its analysis and the findings did not have an impact on the analysis.
The offering documents for CAS 2017-C01 do not disclose any representations, warranties, or enforcement mechanisms (RW&Es) that are available to investors and which relate to the underlying asset pools. Please see Fitch's Special Report for further information regarding Fitch's approach to the disclosure of a transaction's RW&Es as required under SEC Rule 17g-7.
Contact:
