Fannie Mae Values CAS REMIC Deal at $866 Million with 101,000 Loans


Fannie Mae has priced Connecticut Avenue Securities (CAS) Series 2022-R07, an approximately $866 million note offering that represents Fannie Mae’s seventh 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-R07 consists of approximately 101,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $30.6 billion. The reference pool includes collateral with loan-to-value ratios of 60.01% to 80%, which were acquired between July 2021 and August 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.

Nomura Securities International Inc. is the lead structuring manager and joint bookrunner. Wells Fargo Securities LLC is the co-lead manager and joint bookrunner. Co-managers are BofA Securities Inc., Citigroup Global Markets Inc., Morgan Stanley & Co. LLC, and StoneX Financial Inc. Selling group members are African American-owned Loop Capital Markets LLC, and African American- and women-owned Siebert Williams Shank & Co. LLC.

With the completion of this transaction, Fannie Mae will have brought 51 CAS deals to market, issued nearly $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.

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