Fannie Mae has priced its Connecticut Avenue Securities (CAS) Series 2020-R01, a $1.03 billion note offering and the GSE’s first 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.
“As we enter the seventh year of the CAS program, we are pleased to see the growth, stability and liquidity of this market, supported by a deep and diverse investor base,” says Laurel Davis, vice president of credit risk transfer for Fannie Mae.
The reference pool for CAS Series 2020-R01 consists of approximately 105,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $29 billion. The reference pool includes one group of loans comprising collateral with loan-to-value ratios of 60.01% to 80.00%, the majority of which were acquired from June through August 2019. 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 says it will retain a portion of the 1M-1, 1M-2 and 1B-1 tranches in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 1B-2H first-loss tranche.
Morgan Stanley & Co. LLC is the lead structuring manager and joint bookrunner, and Wells Fargo Securities LLC is the co-lead manager and joint bookrunner. Co-managers are BofA Securities Inc., Citigroup Global Markets Inc., Goldman Sachs & Co. LLC and Nomura Securities International Inc. Selling group members are Drexel Hamilton LLC and Loop Capital Markets LLC.
With the completion of this transaction, Fannie Mae will have brought 39 CAS deals to market, issued $45 billion in notes, and transferred a portion of the credit risk to private investors on close to $1.5 trillion in single-family mortgage loans, measured at the time of the transaction.