Fannie Mae Wraps Up CAS REMIC Deal


Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2021-R03, an approximately $909 million note offering that represents Fannie Mae’s third, and last, 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.

“Our final deal of the year was well received by the market,” states Devang Doshi, senior vice president of single-family capital markets at Fannie Mae. “Subject to market conditions, we look forward to returning to market in early January with our first deal of 2022, CAS 2022-R01 – a low-LTV transaction.”

The reference pool for CAS Series 2021-R03 consists of approximately 117,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $35 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired in January 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.

The offered amount ($MM), pricing level and expected rating (S&P/KBRA) are respectively as follows for each class: 1M-1 [$264.348, 1-month average SOFR plus 85 bps, A (sf) / BBB+ (sf)], 1M-2 [$313.914, 1-month average SOFR plus 165 bps, BBB (sf) / BBB (sf)], 1B-1 [$148.696, 1-month average SOFR plus 275 bps, BB (sf) / BB+ (sf)] and 1B-2 [$181.739, 1-month average SOFR plus 550 bps, NR / B (sf)].

BofA Securities Inc. is the lead structuring manager and joint bookrunner. Barclays Capital Inc. is the co-lead manager and joint bookrunner. Co-managers are Amherst Pierpont Securities LLC, Morgan Stanley & Co. LLC, Performance Trust Capital Partners LLC and Wells Fargo Securities LLC. Selling group members are African American-owned Blaylock Van LLC and service-disabled veteran-owned Drexel Hamilton LLC.

With the completion of this transaction, Fannie Mae will have brought 44 CAS deals to market, issued over $50 billion in notes, and transferred a portion of the credit risk to private investors on over $1.6 trillion in single-family mortgage loans, measured at the time of the transaction.

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