Fannie Mae Prices $628 Million Connecticut Avenue Securities (CAS) REMIC Deal

By klrw460 April 11, 2024

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) has announced the pricing of its Connecticut Avenue Securities® (CAS) Series 2024-R03, a note offering of approximately $628 million. This marks the third CAS REMIC® transaction for the year by Fannie Mae, which is a central part of its strategy to distribute credit risk associated with its single-family conventional guaranty book of business. So far this year, the CAS program has seen the issuance of around $2.2 billion in notes.

The CAS Series 2024-R03 is backed by around 75,000 single-family mortgage loans totaling an unpaid principal of approximately $26.2 billion. These loans, with loan-to-value ratios ranging from 80.01% to 97.00%, were acquired from January to June 2023. The loans are primarily fixed-rate, 30-year term mortgages that adhere to stringent credit standards and enhanced risk control measures.

Fannie Mae will hold on to parts of the 2M-1, 2M-2, and 2B-1 tranches, and will initially keep the entire 2B-2H and 2B-3H first-loss tranches.

The offering details are as follows:

  • Class 2M-1: $273.900 million at a rate of 30-day average SOFR plus 115 bps, rated A2 (sf) / A (low) (sf) by Moody’s/DBRS.
  • Class 2M-2: $236.550 million at a rate of 30-day average SOFR plus 195 bps, rated Baa2 (sf) / BBB (high) (sf) by Moody’s/DBRS.
  • Class 2B-1: $117.946 million at a rate of 30-day average SOFR plus 280 bps, rated Ba1 (sf) / BB (high) (sf) by Moody’s/DBRS.

Morgan Stanley & Co, LLC serves as the lead structuring manager and joint bookrunner, with BofA Securities, Inc. as the co-lead manager and joint bookrunner. Additional co-managers include BMO Capital Markets Corp., Cantor Fitzgerald & Co., StoneX Financial Inc., and Wells Fargo Securities, LLC. The selling group features minority and service-disabled veteran-owned Academy Securities, Inc. and African-American-owned CastleOak Securities, L.P.

With this latest issuance, Fannie Mae’s CAS deals total 64, bringing over $66 billion in notes to the market and transferring credit risk on more than $2.2 trillion in single-family mortgage loans.

Fannie Mae commits to transparency by providing comprehensive ongoing data, news, resources, and analytics through its credit risk transfer webpages, including the innovative Data Dynamics® tool for market analysis. Additionally, Fannie Mae supports European Union and UK institutional investors through dedicated resources tailored to local regulations.

Beyond the CAS program, Fannie Mae continues to mitigate 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, with payments based on the performance of a diverse and extensive reference pool of loans. For more details on CAS transactions, please visit Fannie Mae’s credit risk transfer webpage.

For more information, read the original press release from: