Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2023-R01, an approximately $731 million 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 2023-R01 consists of approximately 68,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $22.6 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between January 2022 and February 2022. 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 and 1B-1 tranches, and initially will retain the full 1B-2H and 1B-3H first-loss tranches.
BofA Securities Inc. is the lead structuring manager and joint bookrunner. Barclays Capital Inc. is the co-lead manager and joint bookrunner. Co-managers are Morgan Stanley & Co. LLC, Nomura Securities International Inc., StoneX Financial Inc., and Wells Fargo Securities LLC. Selling group members are Service-Disabled Veteran-owned Drexel Hamilton LLC, and African-American and women-owned Siebert Williams Shank & Co. LLC.
With the completion of this transaction, Fannie Mae will have brought 54 CAS deals to market, issued over $59 billion in notes, and transferred a portion of the credit risk to private investors on over $1.98 trillion in single-family mortgage loans, measured at the time of the transaction.