Fannie Mae rates $ 1.5 billion REMIC deal on Connecticut Avenue Securities (CAS)

WASHINGTON, January 11, 2022 / PRNewswire / – Fannie Mae (OTCQB: FNMA) rated Connecticut Avenue Securities® (CAS) Series 2022-R01, approx. $ 1.5 billion offer note which represents Fannie Mae’s first CAS REMIC® operation of the year. CAS is Fannie Mae’s benchmark issuance program designed to share credit risk across its portfolio of conventional single-family guarantees.

The benchmark portfolio for CAS 2022-R01 series consists of approximately 180,000 single-family mortgages with an outstanding principal balance of nearly $ 54 billion. The benchmark pool includes guarantees with loan-to-value ratios of 60.01% to 80.00%, which were acquired in January through March 20211. The loans included in this transaction are fixed rate mortgages, generally with a term of 30 years, fully amortizing and were underwritten using rigorous credit standards and enhanced risk controls.

Fannie Mae will keep part of the 1M-1, 1M-2, 1B-1, and 1B-2 slices and will keep all 1B-3H first loss tranche.

To classify

Amount offered
(M $)

Price level

Expected
Evaluation
(S & P / KBRA)

1M-1

$ 459,538

1 month average SOFR plus 100 bps

A (sf) / A- (sf)

1M-2

$ 434,007

1 month average SOFR plus 190 bp

BBB (sf) / BBB (sf)

1B-1

$ 306,358

1 month average SOFR plus 315 bps

BB (sf) / BB + (sf)

1B-2

$ 306,358

1 month average SOFR plus 600 bps

NR / B (sf)

BofA Securities, Inc. (“BofA Securities”) is the lead structuring manager and associate bookrunner. Nomura Securities International Inc. (“Nomura”) is co-lead manager and associate bookrunner. The co-managers are Barclays Capital Inc. (“Barclays”), Citigroup Global Markets Inc. (“Citi”), Morgan Stanley & Co. LLC (“Morgan Stanley”) and StoneX Financial Inc. (“StoneX”). Members of the sales group are African-American-owned CastleOak Securities LP and African-American women-owned Siebert Williams Shank & Co., LLC.

With the completion of this transaction, Fannie Mae will have put 45 CAS deals on the market, issued on $ 51 billion in notes, and transferred part of the credit risk to private investors over just under $ 1.7 trillion in single-family mortgages, measured at the time of the transaction.

To promote transparency and help credit investors evaluate our securities and the CAS program, Fannie Mae provides robust and ongoing disclosure data, as well as access to news, resources and analysis through her Credit Risk Transfer Web Pages. This includes the innovation of Fannie Mae Data dynamics® tool that allows market participants to interact and analyze the current CAS transactions in the market and the historical loan dataset of Fannie Mae. In addition, our EU resources and British Resources The webpages help institutional investors in the European Union and UK, as well as those who manage funds subject to EU / UK regulations to comply with EU / UK securitization regulations.

In addition to our flagship CAS program, Fannie Mae continues to transfer mortgage credit risk through her credit insurance risk transfer (CIRT) reinsurance program.

About Connecticut Avenue Securities
CAS REMIC tickets 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 diversified benchmark pool. For more information on individual CAS transactions, visit our credit risk transfer site.

About Fannie Mae
Fannie Mae is helping make 30-year fixed-rate mortgage and rental housing affordable for millions of people in America. We work in partnership 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 risks. To find out more, visit:
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The statements contained in this press release regarding the Company’s future CAS transactions are forward-looking. Actual results may be materially different due to 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 press release does not constitute an offer or a sale of any security. Before investing in any security issued by Fannie Mae, potential investors should review the disclosure of that security and consult their own investment advisers.


1 Available January 2021 the loans include 431 loans with an outstanding principal balance of approximately $ 136 million representing approximately 0.25% of the total of the benchmark pool.

SOURCE Fannie Mae

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