Fannie Mae (OTCQB: FNMA) priced Connecticut Avenue Securities Series 2023-R08, an approximately $609 million note offering that represents Fannie Mae’s eighth 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 2023 was met with very strong demand, including new investor interest,” said Kathleen Pagliaro, Fannie Mae Vice President, Credit Risk Transfer. “We are pleased to close out another successful year, marking a decade since the launch of the CAS program.”
The reference pool for CAS Series 2023-R08 consists of approximately 60,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $18.9 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between October 2022 and December 2022. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using rigorous credit standards and enhanced risk controls.
Fannie Mae will retain a portion of the 1M-1, 1M-2, and 1B-1 tranches, and initially will retain the full 1B-2H and 1B-3H first-loss tranches.
Class |
Offered Amount ($MM) |
Pricing Level |
Expected Ratings (S&P/KBRA) |
1M-1 |
$278.010 |
30-day Average SOFR plus 150 bps |
A- (sf) / A- (sf) |
1M-2 |
$206.265 |
30-day Average SOFR plus 250 bps |
BBB (sf) / BBB+ (sf) |
1B-1 |
$125.000 |
30-day Average SOFR plus 355 bps |
BB (sf) / BBB- (sf) |
Morgan Stanley & Co, LLC (“Morgan Stanley”) is the lead structuring manager and joint bookrunner. Wells Fargo Securities, LLC (“Wells Fargo”) is the co-lead manager and joint bookrunner. Co-managers are BofA Securities, Inc. (“BofA”), BMO Capital Markets Corp. (“BMO Capital Markets”), Cantor Fitzgerald & Co. (“Cantor”), and StoneX Financial Inc. (“StoneX”). Selling group members are Minority and Service-Disabled Veteran-owned Academy Securities, Inc. and African-American-owned CastleOak Securities, L.P.
With the completion of this transaction, Fannie Mae will have brought 61 CAS deals to market, issued over $64.5 billion in notes, and transferred a portion of the credit risk to private investors on over $2.1 trillion in single-family mortgage loans, measured at the time of the transaction.
“We appreciate the continued engagement from our deep investor base despite market volatility throughout the year,” said Devang Doshi, Fannie Mae Senior Vice President, Capital Markets. “We expect to continue regular issuance of CAS transactions in 2024, subject to market conditions.”
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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