Fannie Mae Prices $708 Million Connecticut Avenue Securities (CAS) REMIC Deal

Rhea-AI Summary

Fannie Mae (OTCQB: FNMA) has priced its sixth and final Connecticut Avenue Securities® (CAS) REMIC® transaction of 2024, a $708 million note offering. This brings the total CAS issuance for the year to approximately $4.3 billion. The CAS Series 2024-R06 reference pool includes about 50,000 single-family mortgage loans with an outstanding unpaid principal balance of $16.6 billion.

The reference pool consists of fixed-rate, 30-year term mortgages with loan-to-value ratios of 60.01% to 80.00%, acquired between October and December 2023. Fannie Mae will retain portions of various tranches and the full first-loss tranches. The offering includes multiple classes with different pricing levels and expected ratings.

This transaction marks Fannie Mae's 67th CAS deal, bringing its total issuance to nearly $69 billion in notes, transferring credit risk on approximately $2.3 trillion in single-family mortgage loans.

Positive

• Successful pricing of $708 million CAS REMIC transaction
• Total CAS issuance for 2024 reaches $4.3 billion
• Reference pool includes $16.6 billion in unpaid principal balance
• Cumulative CAS program has transferred risk on $2.3 trillion in mortgage loans

Negative

• None.

WASHINGTON, Sept. 17, 2024 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) priced Connecticut Avenue Securities^® (CAS) Series 2024-R06, an approximately $708 million note offering that represents Fannie Mae's sixth and final 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. Year to date, Fannie Mae has issued approximately $4.3 billion of notes under the CAS program.

The reference pool for CAS Series 2024-R06 consists of approximately 50,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $16.6 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between October 2023 and December 2023. 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 1A-1, 1M-1, 1M-2, and 1B-1 tranches, and initially will retain the full 1B-2H and 1B-3H first-loss tranches.

Class	Offered Amount ($MM)	Pricing Level	Expected Ratings (S&P/KBRA)
1A-1	$212.513	30-day Average SOFR plus 115 bps	A+ (sf) / A+ (sf)
1M-1	$212.513	30-day Average SOFR plus 105 bps	BBB+ (sf) / A- (sf)
1M-2	$165.288	30-day Average SOFR plus 160 bps	BBB- (sf) / BBB (sf)
1B-1	$118.062	30-day Average SOFR plus 205 bps	BB- (sf) / BB+ (sf)

BofA Securities, Inc. ("BofA") is the lead structuring manager and joint bookrunner. Cantor Fitzgerald & Co. ("Cantor") is the co-lead manager and joint bookrunner. Co-managers are Morgan Stanley & Co, LLC ("Morgan Stanley"), Nomura Securities International Inc. ("Nomura"), StoneX Financial Inc. ("StoneX"), and Wells Fargo Securities, LLC ("Wells Fargo"). Selling group members are Academy Securities, Inc. and CastleOak Securities, L.P.

With the completion of this transaction, Fannie Mae will have brought 67 CAS deals to market, issued nearly $69 billion in notes, and transferred a portion of the credit risk to private investors on nearly $2.3 trillion in single-family mortgage loans, measured at the time of the transaction.

To promote transparency and to help credit investors evaluate our securities and the CAS program, Fannie Mae provides ongoing, robust disclosure data, as well as access to news, resources, and analytics through its credit risk transfer webpages. This includes our innovative Data Dynamics^® tool that enables market participants to interact with and analyze CAS deals that are currently outstanding in the market and Fannie Mae's historical loan dataset. Our EU Resources and UK Resources webpages are designed to help European Union and UK institutional investors, as well as those managing funds subject to EU/UK regulations.

In addition to our flagship CAS program, Fannie Mae continues to transfer mortgage credit risk through its Credit Insurance Risk Transfer^™ (CIRT^™) reinsurance program.

About Connecticut Avenue Securities
CAS REMIC notes 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 diverse reference pool. For more information on individual CAS transactions, visit our credit risk transfer webpage.

About Fannie Mae
Fannie Mae advances equitable and sustainable access to homeownership and quality, affordable rental housing for millions of people across America. We enable the 30-year fixed-rate mortgage and drive responsible innovation to make homebuying and renting easier, fairer, and more accessible. To learn more, visit:
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Fannie Mae Newsroom
https://www.fanniemae.com/news

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Fannie Mae Resource Center
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Statements in this release regarding the company's future CAS transactions are forward-looking. Actual results may be materially different as a result of 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, 2023. This release does not constitute an offer or sale of any security. Before investing in any Fannie Mae issued security, potential investors should review the disclosure for such security and consult their own investment advisors.

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SOURCE Fannie Mae

FAQ

What is the size of Fannie Mae's latest CAS REMIC transaction (FNMA)?

Fannie Mae's latest Connecticut Avenue Securities (CAS) REMIC transaction, Series 2024-R06, is approximately $708 million.

How many CAS deals has Fannie Mae (FNMA) completed to date?

With the completion of this transaction, Fannie Mae has brought 67 CAS deals to market.

What is the total value of notes issued through Fannie Mae's CAS program (FNMA)?

Fannie Mae has issued nearly $69 billion in notes through its Connecticut Avenue Securities (CAS) program.

What is the total value of mortgage loans on which Fannie Mae (FNMA) has transferred credit risk through CAS?

Fannie Mae has transferred a portion of the credit risk on nearly $2.3 trillion in single-family mortgage loans through its CAS program.