Fannie Mae Closes $ 984 Million REMIC Deal on Connecticut Avenue Securities (CAS)


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WASHINGTON, November 16, 2021 / PRNewswire / – Fannie Mae (OTCQB: FNMA) rated Connecticut Avenue Securities® (CAS) Series 2021-R02, a $ 984 million offer note which represents Fannie Mae’s second 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 latest deal has met strong demand from a large investor base,” said Devang Doshi, Senior Vice President, Single Family Capital Markets, Fannie Mae. “Subject to market conditions, we look forward to returning to the market next month with our final deal of the year, CAS 2021-R03, a low LTV transaction.”

The benchmark portfolio for CAS 2021-R02 series consists of approximately 125,000 single-family mortgages with an outstanding principal balance of approximately $ 35 billion. The benchmark pool includes guarantees with loan-to-value ratios of 80.01% to 97.00%, which were acquired from October to december 2020. The loans included in this transaction are fixed rate mortgages, generally with a term of 30 years, fully amortizing and were underwritten using stringent credit standards and enhanced risk controls.

Fannie Mae will retain part of the 2M-1, 2M-2, 2B-1, and 2B-2 tranches in order to align its interests with investors throughout the life of the operation. Fannie Mae will retain all 2B-3H first loss tranche.

To classify

Amount offered

(M $)

Price level

Expected

Evaluation

(Fitch / KBRA)

2M-1

$ 283,567

1 month average SOFR plus 90 bps

BBB- (sf) / BBB (sf)

2M-2

$ 283,566

1 month average SOFR plus 200 bps

BB (sf) / BBB- (sf)

2B-1

$ 233,524

1 month average SOFR plus 330 bps

B + (sf) / BB (sf)

2B-2

$ 183,484

1 month average SOFR plus 620 bps

NR / B- (sf)

Nomura Securities International Inc. (“Nomura”) is the Senior Structuring Manager and Associate Bookrunner. Citigroup Global Markets Inc. (“Citigroup”) is the co-lead manager and associate bookrunner. The co-managers are BofA Securities, Inc. (“BofA Securities”), Morgan Stanley & Co. LLC (“Morgan Stanley”), StoneX Group Inc. (“StoneX”) and Wells Fargo Securities, LLC (“Wells Fargo”). Members of the sales group are Academy Securities Inc., owned by a disabled veteran, and Blaylock Van, LLC, owned by African-American people.

With the completion of this transaction, Fannie Mae will have placed 43 CAS deals on the market, issued on $ 49 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 reduce risk to taxpayers through its Credit Insurance Risk Transfer â„¢ (CIRT â„¢) 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 affordable rental housing possible for millions of people in America. We partner 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
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Fannie Mae Resource Center
1-800-2FANNIE

The statements 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

Related links

www.fannimae.com


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