Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2023-R06 – an approximately $766 million note offering that represents Fannie Mae’s sixth 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.
“We are pleased with the sustained demand for our CAS transactions from a deep and diverse investor base,” says Kathleen Pagliaro, vice president of credit risk transfer, Fannie Mae. “We look forward to returning to the market with two additional deals later this year, subject to market conditions.”
Approximately 64,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $20.3 billion comprise the reference pool for CAS Series 2023-R06. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired between July 2022 and October 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 59 CAS deals to market, issued over $63 billion in notes and transferred a portion of the credit risk to private investors on over $2.1 trillion in single-family mortgage loans, measured at the time of the transaction.