Fannie Mae Prices $866 Million Connecticut Avenue Securities (CAS) REMIC Deal

Rhea-AI Summary

Fannie Mae (OTCQB: FNMA) has priced its Connecticut Avenue Securities (CAS) Series 2022-R07, a note offering of approximately $866 million. This marks the seventh CAS REMIC transaction in 2022, aimed at sharing credit risk from its single-family mortgage portfolio. The reference pool consists of about 101,000 mortgage loans totaling $30.6 billion in unpaid principal. Fannie Mae retains portions of specific tranches, indicating commitment to managing risk. Since inception, Fannie Mae has completed 51 CAS deals, issuing nearly $58 billion in notes and transferring risk on over $1.9 trillion in loans.

Positive

• Successful pricing of $866 million CAS note offering.
• Refinancing efforts enhance risk-sharing on a $30.6 billion mortgage portfolio.
• Cumulative issuance from CAS transactions reaches nearly $58 billion.
• Risk transferred on over $1.9 trillion in mortgage loans demonstrates strong market confidence.

Negative

• None.

WASHINGTON, June 28, 2022 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) priced Connecticut Avenue Securities^® (CAS) Series 2022-R07, an approximately $866 million note offering that represents Fannie Mae's seventh 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-R07 consists of approximately 101,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $30.6 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between July 2021 and August 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, 1B-1, and 1B-2 tranches and will retain the full 1B-3H first-loss tranche.

Class	Offered Amount ($MM)	Pricing Level	Expected Ratings (S&P/KBRA)
1M-1	$391.813	1-month average SOFR plus 295 bps	BBB+ (sf) / BBB+ (sf)
1M-2	$275.718	1-month average SOFR plus 465 bps	BBB- (sf) / BBB (sf)
1B-1	$91.652	1-month average SOFR plus 680 bps	BB- (sf) / BB+ (sf)
1B-2	$106.927	1-month average SOFR plus 1200 bps	NR / B- (sf)

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

With the completion of this transaction, Fannie Mae will have brought 51 CAS deals to market, issued nearly $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 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 Fannie Mae's recent CAS note offering amount?

Fannie Mae recently priced a CAS note offering of approximately $866 million.

What is the significance of the CAS Series 2022-R07?

CAS Series 2022-R07 is Fannie Mae's seventh CAS REMIC transaction for 2022, aimed at sharing credit risk.

What is the total unpaid principal balance in the CAS Series 2022-R07?

The CAS Series 2022-R07 reference pool consists of approximately $30.6 billion in unpaid principal.

How many CAS deals has Fannie Mae completed?

With this transaction, Fannie Mae has completed a total of 51 CAS deals.

What amount of risk has Fannie Mae transferred through CAS deals?

Fannie Mae has transferred risk on over $1.9 trillion in single-family mortgage loans through CAS transactions.