Fannie Mae Prices Sixth CAS REMIC Transaction of 2022 at $754 Million


Fannie Mae has priced the latest Connecticut Avenue Securities (CAS) Series 2022-R06, an approximately $754 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.

The reference pool for CAS Series 2022-R06 consists of approximately 83,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $25.0 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired between June 2021 and July 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.

BofA Securities Inc. is the lead structuring manager and joint bookrunner. Nomura Securities International Inc. is the co-lead manager and joint bookrunner. Co-managers are Amherst Pierpoint Securities LLC, Barclays Capital Inc., Citigroup Global Markets Inc. and Credit Suisse Securities (USA) LLC. Selling group members are service-disabled veteran-owned Academy Securities Inc. and African American-owned CastleOak Securities LP.

With the completion of this transaction, Fannie Mae will have brought 50 CAS deals to market, issued nearly $57 billion in notes, and transferred a portion of the credit risk to private investors on over $1.8 trillion in single-family mortgage loans, measured at the time of the transaction.

Image: Birgit Loit on Unsplash

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