Fannie Mae Prices $909 Million Connecticut Avenue Securities (CAS) REMIC Deal

Rhea-AI Summary

Fannie Mae (FNMA) announced the pricing of its Connecticut Avenue Securities (CAS) Series 2021-R03, a $909 million note offering. This marks Fannie Mae's third and final CAS transaction for 2021, aimed at sharing credit risk in its single-family conventional guaranty portfolio. The reference pool consists of approximately 117,000 loans worth around $35 billion. With this deal, Fannie Mae has completed 44 CAS transactions, issuing over $50 billion in notes.

Positive

• Successful pricing of $909 million CAS Series 2021-R03, enhancing credit risk sharing.
• Completion of 44 CAS transactions, issuing over $50 billion in total notes.

Negative

• None.

WASHINGTON, Dec. 15, 2021 /PRNewswire/ -- Fannie Mae (FNMA/OTCQB) priced Connecticut Avenue Securities^® (CAS) Series 2021-R03, an approximately $909 million note offering that represents Fannie Mae's third, and last, 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.

"Our final deal of the year was well received by the market," said Devang Doshi, Senior Vice President, Single-Family Capital Markets, Fannie Mae. "Subject to market conditions, we look forward to returning to market in early January with our first deal of 2022, CAS 2022-R01, a low-LTV transaction."

The reference pool for CAS Series 2021-R03 consists of approximately 117,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $35 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired in January 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 Rating (S&P/KBRA)
1M-1	$264.348	1-month average SOFR plus 85 bps	A (sf) / BBB+ (sf)
1M-2	$313.914	1-month average SOFR plus 165 bps	BBB (sf) / BBB (sf)
1B-1	$148.696	1-month average SOFR plus 275 bps	BB (sf) / BB+ (sf)
1B-2	$181.739	1-month average SOFR plus 550 bps	NR / B (sf)

BofA Securities, Inc. ("BofA Securities") is the lead structuring manager and joint bookrunner. Barclays Capital Inc. ("Barclays") is the co-lead manager and joint bookrunner. Co-managers are Amherst Pierpont Securities LLC ("Amherst"), Morgan Stanley & Co. LLC ("Morgan Stanley"), Performance Trust Capital Partners, LLC ("Performance Trust"), and Wells Fargo Securities, LLC ("Wells Fargo"). Selling group members are African American-owned Blaylock Van, LLC and Service-Disabled Veteran-owned Drexel Hamilton, LLC.

With the completion of this transaction, Fannie Mae will have brought 44 CAS deals to market, issued over $50 billion in notes, and transferred a portion of the credit risk to private investors on over $1.6 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 Fannie Mae's 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 regulation.

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 website.

About Fannie Mae
Fannie Mae helps make the 30-year fixed-rate mortgage and affordable rental housing possible for millions of people in America. We partner with lenders to create housing opportunities for people across the country. We are driving positive changes in housing finance to make the home buying process easier, while reducing costs and risk. 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, 2020. 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 size of Fannie Mae's CAS Series 2021-R03 transaction?

Fannie Mae's CAS Series 2021-R03 transaction is priced at $909 million.

How many CAS deals has Fannie Mae completed to date?

With the latest transaction, Fannie Mae has completed 44 CAS deals.

What is the total amount issued through Fannie Mae's CAS program?

Fannie Mae has issued over $50 billion in notes through its CAS program.

What is the reference pool for CAS Series 2021-R03?

The reference pool for CAS Series 2021-R03 consists of approximately 117,000 single-family mortgage loans with an outstanding unpaid principal balance of about $35 billion.

What kind of loans are included in the CAS Series 2021-R03 transaction?

The loans are fixed-rate, typically 30-year term, fully amortizing mortgages, acquired in January 2021.