Fannie Mae Prices Fourth CAS REMIC Transaction at $765 Billion


In Fannie Mae‘s fourth CAS REMIC transaction of the year, it priced Connecticut Avenue Securities Series 2023-R04, an approximately $765 million note offering. 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-R04 consists of approximately 67,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $20.9 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired between March 2022 and April 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, 1B-1, and 1B-2 tranches and initially will retain the full 1B-3H first-loss tranche.

With the completion of this transaction, Fannie Mae will have brought 57 CAS deals to market, issued nearly $62 billion in notes and transferred a portion of the credit risk to private investors on more than $2 trillion in single-family mortgage loans, measured at the time of the transaction.

Photo from WikimediaCommons by Bill Fitzpatrick.

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