Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2022-R01, an approximately $1.5 billion note offering that represents Fannie Mae’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.
The reference pool for CAS Series 2022-R01 consists of approximately 180,000 single-family mortgage loans with an outstanding unpaid principal balance of nearly $54 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired in January through March 20211. 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.
BofA Securities Inc. is the lead structuring manager and joint bookrunner. Nomura Securities International Inc. is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital Inc., Citigroup Global Markets Inc., Morgan Stanley & Co. LLC and StoneX Financial Inc. Selling group members are CastleOak Securities L.P. and Siebert Williams Shank & Co. LLC.
With the completion of this transaction, Fannie Mae will have brought 45 CAS deals to market, issued over $51 billion in notes, and transferred a portion of the credit risk to private investors on just under $1.7 trillion in single-family mortgage loans, measured at the time of the transaction.
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