Fannie Mae Prices Latest CAS REMIC Deal


Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2022-R04, an approximately $1.1 billion note offering that represents Fannie Mae’s fourth CAS REMIC transaction of the year.

The reference pool for CAS Series 2022-R04 consists of approximately 118,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $36 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired between April 2021 and May 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 1M-1, 1M-2, 1B-1 and 1B-2 tranches and will retain the full 1B-3H first-loss tranche.

For Class1M-1, the offered amount (in millions) is $415.412 with a pricing level of 1-month average SOFR plus 200 bps, and an expected rating (S&P/KBRA) of A (sf) / and A- (sf). For 1M-2, it is $346.176, 1-month average SOFR plus 310 bps, and BBB (sf) / BBB- (sf). For 1B-1, it is $190.396, 1-month average SOFR plus 525 bps, and BB- (sf) / BB (sf) while 1B-2 is $190.397, 1-month average SOFR plus 950 bps, and NR / B (sf).

Nomura Securities International Inc. is the lead structuring manager and joint bookrunner. Citigroup Global Markets Inc. is the co-lead manager and joint bookrunner. Co-managers are Amherst Pierpoint Securities LLC, Barclays Capital Inc., BofA Securities Inc. and StoneX Financial Inc. Selling group members are service-disabled, veteran-owned Drexel Hamilton LLC and service-disabled, veteran and Hispanic-owned Mischler Financial Group Inc.

With the completion of this transaction, Fannie Mae will have brought 48 CAS deals to market, issued over $55 billion in notes, and transferred a portion of the credit risk to private investors on just over $1.8 trillion in single-family mortgage loans, measured at the time of the transaction.

Photo by Dillon Kydd on Unsplash

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