Fannie Mae Prices $626 Million Connecticut Avenue Securities (CAS) REMIC Deal

Rhea-AI Summary

Fannie Mae priced its CAS Series 2022-R08 offering at approximately $626 million, marking its eighth CAS REMIC transaction of the year. The reference pool includes around 68,000 single-family mortgage loans totaling $20.4 billion. These loans have loan-to-value ratios between 60.01% and 80.00%, and were acquired between September and November 2021. The offering continues Fannie Mae's initiative to share credit risk and enhances its commitment to transparency and robust disclosure data for investors.

Positive

• Successfully priced CAS Series 2022-R08 at $626 million, demonstrating market confidence.
• Reference pool includes 68,000 loans worth $20.4 billion, indicating robust asset backing.

Negative

• None.

WASHINGTON, Aug. 2, 2022 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) priced Connecticut Avenue Securities^® (CAS) Series 2022-R08, an approximately $626 million note offering that represents Fannie Mae's eighth CAS REMIC^® transaction of the year. CAS is Fannie Mae's benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.

The reference pool for CAS Series 2022-R08 consists of approximately 68,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $20.4 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between September 2021 and November 2021. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using rigorous credit standards and enhanced risk controls.

Fannie Mae will retain a portion of the 1M-1, 1M-2, and 1B-1 tranches, and initially will retain the full 1B-2H and 1B-3H first-loss tranches.

Class	Offered Amount ($MM)	Pricing Level	Expected Ratings (S&P/KBRA)
1M-1	$377.927	1-month average SOFR plus 255 bps	BBB+ (sf) / BBB+ (sf)
1M-2	$125.973	1-month average SOFR plus 360 bps	BBB- (sf) / BBB (sf)
1B-1	$122.404	1-month average SOFR plus 560 bps	BB- (sf) / BB+ (sf)

 

BofA Securities, Inc. ("BofA") is the lead structuring manager and joint bookrunner. StoneX Financial Inc. ("StoneX") is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital Inc. ("Barclays"), Credit Suisse Securities (USA) LLC ("Credit Suisse"), Nomura Securities International Inc. ("Nomura"), and Morgan Stanley & Co, LLC ("Morgan Stanley"). Selling group members are Hispanic-owned Great Pacific Securities and Hispanic-owned Ramirez & Co., Inc.

With the completion of this transaction, Fannie Mae will have brought 52 CAS deals to market, issued over $58 billion in notes, and transferred a portion of the credit risk to private investors on over $1.9 trillion in single-family mortgage loans, measured at the time of the transaction.

To promote transparency and to help credit investors evaluate our securities and the CAS program, Fannie Mae provides ongoing, robust disclosure data, as well as access to news, resources, and analytics through its credit risk transfer webpages. This includes our innovative Data Dynamics^® tool that enables market participants to interact with and analyze CAS deals that are currently outstanding in the market and Fannie Mae's historical loan dataset. In addition, our EU Resources and UK Resources webpages help European Union and UK institutional investors, as well as those managing funds subject to EU/UK regulations comply with EU/UK securitization regulations.

In addition to our flagship CAS program, Fannie Mae continues to transfer mortgage credit risk through its Credit Insurance Risk Transfer^™ (CIRT^™) reinsurance program.

About Connecticut Avenue Securities

CAS REMIC notes are issued by a bankruptcy-remote trust. The amount of periodic principal and ultimate principal paid by Fannie Mae is determined by the performance of a large and diverse reference pool. For more information on individual CAS transactions, visit our credit risk transfer webpage.

About Fannie Mae

Fannie Mae advances equitable and sustainable access to home ownership and quality, affordable rental housing for millions of people across America. We enable the 30-year fixed-rate mortgage and drive responsible innovation to make homebuying and renting easier, fairer, and more accessible. To learn more, visit:
fanniemae.com | Twitter | Facebook | LinkedIn | Instagram | YouTube | Blog

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https://www.fanniemae.com/newsroom

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Fannie Mae Resource Center

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Statements in this release regarding the company's future CAS transactions are forward-looking. Actual results may be materially different as a result of market conditions or other factors listed in "Risk Factors" or "Forward-Looking Statements" in the company's annual report on Form 10-K for the year ended December 31, 2021. This release does not constitute an offer or sale of any security. Before investing in any Fannie Mae issued security, potential investors should review the disclosure for such security and consult their own investment advisors.

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SOURCE Fannie Mae

FAQ

What is the date of Fannie Mae's CAS Series 2022-R08 pricing?

Fannie Mae priced its CAS Series 2022-R08 on August 2, 2022.

What is the total offering amount for Fannie Mae's CAS Series 2022-R08?

The total offering amount for CAS Series 2022-R08 is approximately $626 million.

How many loans are included in the CAS Series 2022-R08 reference pool?

The reference pool for CAS Series 2022-R08 consists of approximately 68,000 single-family mortgage loans.

What is the outstanding unpaid principal balance of the CAS Series 2022-R08 loans?

The outstanding unpaid principal balance of the loans in CAS Series 2022-R08 is approximately $20.4 billion.

What are the loan-to-value ratios for the loans in CAS Series 2022-R08?

The loans included have loan-to-value ratios ranging from 60.01% to 80.00%.