Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2022-R02, an approximately $1.2 billion note offering that represents Fannie Mae’s second 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-R02 consists of approximately 149,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $44 billion. The reference pool includes collateral with loan-to-value ratios of 80.01% to 97%, which were acquired between January 2021 and April 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 2M-1, 2M-2, 2B-1, and 2B-2 tranches and will retain the full 2B-3H first-loss tranche.
Morgan Stanley & Co. LLC is the lead structuring manager and joint bookrunner. Nomura Securities International Inc. is the co-lead manager and joint bookrunner. Co-managers are Citigroup Global Markets Inc., BofA Securities Inc., Wells Fargo Securities LLC and StoneX Financial Inc. Selling group members are Hispanic-owned Great Pacific Securities and African American-owned Loop Capital Markets LLC. With the completion of this transaction, Fannie Mae will have brought 46 CAS deals to market, issued over $52 billion in notes, and transferred a portion of the credit risk to private investors on just under $1.8 trillion in single-family mortgage loans, measured at the time of the transaction.