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

BY PR Newswire | AGENCY | 04/11/24 11:30 AM EDT

WASHINGTON, April 11, 2024 /PRNewswire/ -- Fannie Mae priced Connecticut Avenue Securities? (CAS) Series 2024-R03, an approximately $628 million note offering that represents Fannie Mae's third 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 $2.2 billion of notes under the CAS program.

(PRNewsfoto/Fannie Mae)

The reference pool for CAS Series 2024-R03 consists of approximately 75,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $26.2 billion. The reference pool includes collateral with loan-to-value ratios of 80.01 percent to 97.00 percent, which were acquired between January 2023 and June 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 2M-1, 2M-2, and 2B-1 tranches, and initially will retain the full 2B-2H and 2B-3H first-loss tranches.

Class

Offered Amount

($MM)

Pricing Level

Expected

Ratings

(Moody's/DBRS)

2M-1

$273.900

30-day Average SOFR plus 115 bps

A2 (sf) / A (low) (sf)

2M-2

$236.550

30-day Average SOFR plus 195 bps

Baa2 (sf) / BBB (high) (sf)

2B-1

$117.946

30-day Average SOFR plus 280 bps

Ba1 (sf) / BB (high) (sf)

?

Morgan Stanley & Co, LLC ("Morgan Stanley") is the lead structuring manager and joint bookrunner. BofA Securities, Inc. ("BofA") is the co-lead manager and joint bookrunner.?Co-managers are BMO Capital Markets Corp. ("BMO Capital Markets"), Cantor Fitzgerald & Co. ("Cantor"), StoneX Financial Inc. ("StoneX"), and Wells Fargo Securities, LLC ("Wells Fargo"). 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 64 CAS deals to market, issued over $66 billion in notes, and transferred a portion of the credit risk to private investors on over $2.2 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:
fanniemae.com | Twitter | Facebook | LinkedIn | Instagram | YouTube | Blog

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

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Fannie Mae Resource Center
1-800-2FANNIE

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

In general the bond market is volatile, and fixed income securities carry interest rate risk. (As interest rates rise, bond prices usually fall, and vice versa. This effect is usually more pronounced for longer-term securities.) Fixed income securities also carry inflation risk and credit and default risks for both issuers and counterparties. Unlike individual bonds, most bond funds do not have a maturity date, so avoiding losses caused by price volatility by holding them until maturity is not possible.

Lower-quality debt securities generally offer higher yields, but also involve greater risk of default or price changes due to potential changes in the credit quality of the issuer. Any fixed income security sold or redeemed prior to maturity may be subject to loss.

Before investing, consider the funds' investment objectives, risks, charges, and expenses. Contact Fidelity for a prospectus or, if available, a summary prospectus containing this information. Read it carefully.

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