Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2022-R08, an approximately $626 million note offering that represents Fannie Mae’s eighth 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-R08 consists of approximately 68,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $20.4 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired between September 2021 and November 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 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. StoneX Financial Inc. is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital Inc., Credit Suisse Securities (USA) LLC, Nomura Securities International Inc., and Morgan Stanley & Co, LLC. Selling group members are Hispanic-owned Great Pacific Securities and Hispanic-owned Ramirez & Co. Inc.
With the completion of this transaction, Fannie Mae will have brought 52 CAS deals to market, issued over $58 billion in notes, and transferred a portion of the credit risk to private investors on over $1.9 trillion in single-family mortgage loans, measured at the time of the transaction.