Fannie Mae Prices $709 Million Connecticut Avenue Securities (CAS) REMIC Deal

Rhea-AI Summary

On February 7, 2023, Fannie Mae (OTC: FNMA) priced its Connecticut Avenue Securities (CAS) Series 2023-R02, a $709 million note offering, marking its second CAS REMIC transaction of the year. The reference pool encompasses about 64,000 single-family mortgage loans valued at approximately $20.3 billion. Loans were acquired between February and March 2022, with loan-to-value ratios ranging from 60.01% to 80.00%. Fannie Mae will retain portions of several tranches and has issued over $60 billion in CAS notes overall, transferring credit risk on more than $2 trillion in single-family mortgages.

Positive

• Successfully priced CAS Series 2023-R02 at $709 million.
• Reference pool consists of 64,000 single-family loans valued at $20.3 billion.
• Continued strong performance with over $60 billion in CAS notes issued.

Negative

• None.

WASHINGTON, Feb. 7, 2023 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) priced Connecticut Avenue Securities^® (CAS) Series 2023-R02, an approximately $709 million note offering that represents Fannie Mae's second 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 2023-R02 consists of approximately 64,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $20.3 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between February 2022 and March 2022. 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, 1B-1, and 1B-2 tranches, and initially will retain the full 1B-3H first-loss tranche.

Class	Offered Amount ($MM)	Pricing Level	Expected Ratings (S&P/DBRS)
1M-1	$375.337	1-month average SOFR plus 230 bps	BBB+ (sf) / A (low) (sf)
1M-2	$153.984	1-month average SOFR plus 335 bps	BBB- (sf) / BBB (sf)
1B-1	$113.968	1-month average SOFR plus 555 bps	BB- (sf) / BB (sf)
1B-2	$65.848	1-month average SOFR plus 790 bps	B- (sf) / B (sf)

Wells Fargo Securities, LLC ("Wells Fargo") is the lead structuring manager and joint bookrunner. BofA Securities, Inc. ("BofA") is the co-lead manager and joint bookrunner. Co-managers are Citigroup Global Markets Inc. ("Citigroup"), Morgan Stanley & Co, LLC ("Morgan Stanley"), Nomura Securities International Inc. ("Nomura"), and StoneX Financial Inc. ("StoneX"). Selling group members are Service-Disabled Veteran-owned Drexel Hamilton, LLC and African-American & women-owned Siebert Williams Shank & Co., LLC.

With the completion of this transaction, Fannie Mae will have brought 55 CAS deals to market, issued over $60 billion in notes, and transferred a portion of the credit risk to private investors on over $2.00 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 homeownership 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

Fannie Mae Newsroom
https://www.fanniemae.com/newsroom

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Fannie Mae Resource Center
1-800-2FANNIE

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 CAS Series 2023-R02 announcement from Fannie Mae?

Fannie Mae announced the pricing of its CAS Series 2023-R02, a $709 million note offering.

What does the $709 million CAS deal consist of?

The CAS deal involves approximately 64,000 single-family mortgage loans with a total unpaid principal balance of $20.3 billion.

When were the loans for CAS Series 2023-R02 acquired?

The loans were acquired between February and March 2022.

How much credit risk has Fannie Mae transferred through CAS?

Fannie Mae has transferred credit risk on over $2 trillion in single-family mortgage loans via CAS.

Who are the lead managers for the CAS Series 2023-R02?

Wells Fargo Securities is the lead structuring manager, with BofA Securities as the co-lead manager.