Fannie Mae Sets Price for $1.2 Billion REMIC Deal with Connecticut Avenue Securities (CAS)

WASHINGTON, March 22, 2022 /PRNewswire/ — Fannie Mae FNMA at prices Connecticut Avenue Securities® (CAS) Series 2022-R03, approx. $1.2 billion note offering that represents Fannie Mae’s third CAS REMIC® operation of the year. CAS is Fannie Mae’s benchmark issuance program designed to share credit risk on its single-family conventional collateral portfolio.

“Our latest deal was met by strong demand from a deep base of investors,” said Devang Doshi, Senior Vice President, Capital Markets for Single Family Families, Fannie Mae. “Subject to market conditions, we look forward to returning to the market in early April with CAS 2022-R04, another low LTV transaction.”

The reference pool for CAS Series 2022-R03 consists of approximately 150,000 single-family mortgages with an outstanding principal balance of approximately $44 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80.00%, which were acquired between March 2021 and April 2021. The loans included in this transaction are fixed rate mortgages, generally with a term of 30 years, fully amortizing and were underwritten under 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 retain the whole 1B-3H slice of first loss.

To classify

Amount offered

($M)

Pricing Tier

Expected

Rating

(S&P/KBRA)

1M-1

$484,882

Average SOFR over 1 month plus 210 basis points

A- (fc) / BBB+ (fc)

1M-2

$379,473

Average SOFR over 1 month plus 350 basis points

BBB- (sf) / BBB- (sf)

1B-1

$210,818

Average SOFR over 1 month plus 625 basis points

BB-(sf) / BB(sf)

1B-2

$166,435

Average SOFR over 1 month plus 985 basis points

NR/B (sf)

BofA Securities, Inc. (“BofA”) is the lead structuring manager and joint bookrunner. Wells Fargo Securities LLC (“Wells Fargo”) is the co-manager and joint bookrunner. The co-managers are Citigroup Global Markets Inc. (“Citigroup”), JP Morgan Securities LLC (“JP Morgan”), Nomura Securities International Inc. (“Nomura”) and StoneX Financial Inc. (“StoneX”). Members of the sales group are Drexel Hamilton, LLC, owned by disabled veterans, and Ramirez & Co, owned by Hispanics.

With the completion of this transaction, Fannie Mae will have brought to market 47 CAS agreements, issued on more than $54 billion in notes, and transferred part of the credit risk to private investors on a little less $1.8 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 its credit risk transfer web pages. This includes our innovation Data dynamics® tool that allows market participants to interact with and analyze CAS transactions currently in the market and Fannie Mae’s historical loan dataset. Additionally, our EU resources and UK Resources The webpages help European Union and UK institutional investors and fund managers subject to EU/UK regulations to comply with EU/UK securitization regulations -United.

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

About Connecticut Avenue Securities
CAS REMIC Notes are issued by a trust away from bankruptcy. 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 Web page.

About Fannie Mae
Fannie Mae advances equitable and sustainable access to quality, affordable homeownership and rental housing for millions of people across America. We enable the 30-year fixed rate mortgage and encourage responsible innovation to make buying and renting a home easier, fairer and more accessible. To learn more, visit:

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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 differ materially due to market conditions or other factors listed under “Risk Factors” or “Forward-Looking Statements” in the Company’s Annual Report on Form 10-K for the fiscal year ended. December 31, 2021. This press release does not constitute an offer or sale of any security. Before investing in any security issued by Fannie Mae, prospective investors should review such security’s disclosure and consult with their own investment advisors.

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SOURCEFanni Mae

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