Fannie Mae Closes $ 909 Million REMIC Deal on Connecticut Avenue Securities (CAS)


WASHINGTON, December 15, 2021 / PRNewswire / – Fannie Mae (FNMA / OTCQB) rated Connecticut Avenue Securities® (CAS) Series 2021-R03, approximately $ 909 million offer note which represents Fannie Mae’s third and final CAS REMIC® operation of the year. CAS is Fannie Mae’s benchmark issuance program designed to share credit risk across its portfolio of conventional single-family guarantees.

“Our last transaction of the year was well received by the market,” said Devang doshi, Senior Vice President, Single Family Capital Markets, Fannie Mae. “Subject to market conditions, we look forward to returning to the market in early January with our first trade of 2022, CAS 2022-R01, a low LTV trade.”

The benchmark portfolio for Series CAS 2021-R03 consists of approximately 117,000 single-family mortgages with an outstanding principal balance of approximately $ 35 billion. The benchmark pool includes guarantees with loan-to-value ratios of 60.01% to 80.00%, which were acquired in January 2021. The loans included in this transaction are fixed rate mortgages, generally with a term of 30 years, fully amortizing and were underwritten using rigorous credit standards and enhanced risk controls.

Fannie Mae will keep part of the 1M-1, 1M-2, 1B-1, and 1B-2 slices and will keep all 1B-3H first loss tranche.

To classify

Amount offered
(M $)

Price level

Expected
Evaluation
(S & P / KBRA)

1M-1

$ 264,348

1 month average SOFR plus 85 bp

A (sf) / BBB + (sf)

1M-2

$ 313,914

1 month average SOFR plus 165 bp

BBB (sf) / BBB (sf)

1B-1

$ 148,696

1 month average SOFR plus 275 bp

BB (sf) / BB + (sf)

1B-2

$ 181,739

1 month average SOFR plus 550bp

NR / B (sf)

BofA Securities, Inc. (“BofA Securities”) is the lead structuring manager and associate bookrunner. Barclays Capital Inc. (“Barclays”) is the co-lead manager and associate bookrunner. The co-managers are Amherst Pierpont Securities LLC (“Amherst“), Morgan Stanley & Co. LLC (” Morgan Stanley “), Performance Trust Capital Partners, LLC (” Performance Trust “) and Wells Fargo Securities, LLC (” Wells Fargo “). African Americans Blaylock Van, LLC and Drexel Hamilton, LLC, owned by a disabled veteran.

With the completion of this transaction, Fannie Mae will have put 44 CAS deals on the market, issued on $ 50 billion in notes and transferred part of the credit risk to private investors over more than $ 1.6 trillion in single-family mortgages, measured at the time of the transaction.

To promote transparency and help credit investors evaluate our securities and the CAS program, Fannie Mae provides robust and ongoing disclosure data, as well as access to news, resources and analysis through her Credit Risk Transfer Web Pages. This includes the innovation of Fannie Mae Data dynamics® tool that allows market participants to interact and analyze the current CAS transactions in the market and the historical loan dataset of Fannie Mae. In addition, our EU resources and British Resources The webpages help institutional investors in the European Union and UK, as well as those who manage funds subject to EU / UK regulations, to comply with EU / UK regulations on securitization.

In addition to our flagship CAS program, Fannie Mae continues to transfer mortgage credit risk through her credit insurance risk transferâ„¢ (CIRTâ„¢) reinsurance program.

About Connecticut Avenue Securities:
CAS REMIC tickets are issued by a bankruptcy remote trust. The amount of periodic principal and ultimate principal paid by Fannie Mae is determined by the performance of a large and diversified benchmark pool. For more information on individual CAS transactions, visit our credit risk transfer site.

About Fannie Mae
Fannie Mae is helping make 30-year fixed-rate mortgage and rental housing affordable for millions of people in America. We work in partnership with lenders to create housing opportunities for people across the country. We are driving positive changes in housing finance to make the home buying process easier, while reducing costs and risks. To find out more, visit:
fanniemae.com | Twitter | Facebook | LinkedIn | Instagram | Youtube | Blog

Fannie Mae Newsroom
https://www.fannimae.com/newsroom

Photo by Fannie Mae
https://www.fannimae.com/resources/img/about-fm/fm-building.tif

Fannie Mae Resource Center
1-800-2FANNIE

The statements contained in this press release regarding the Company’s future CAS transactions are forward-looking. Actual results may be materially different due to market conditions or other factors listed in “Risk Factors” or “Forward-Looking Statements” in the Company’s Annual Report on Form 10-K for the year ended. December 31, 2020. This press release does not constitute an offer or a sale of any security. Before investing in any security issued by Fannie Mae, potential investors should review the disclosure of that security and consult their own investment advisers.

SOURCE Fannie Mae


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