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Fannie Mae is out with 7th CAS offering

The credit-risk transfer deal brings the agency more than halfway to its $15B note-offering goal for this year

Less than a month after announcing its sixth Connecticut Avenue Series (CAS) credit-risk transfer deal of 2022, Fannie Mae is unveiling its seventh CAS transaction of the year — an $866 million note offering backed by a reference pool of single-family mortgages valued at $30.6 billion.

Earlier this month, Fannie Mae launched its a sixth CAS credit-risk transfer (CRT) deal this year, CAS 2022-R06, which involved a $754.4 million note offering backed by a reference pool of 83,420 single-family mortgages valued at $25 billion. 

The latest $866 million note offering, CAS 2022-R07, involves a reference pool of 101,170 single-family mortgage loans, according to a presale review by the Kroll Bond Rating Agency (KBRA). Among the highlights of Fannie’s most recent CAS deal are the following: 

  • The leading originators for the loans in the offering and the percentage of loans originated in the reference pool are Rocket Mortgage, 11.8%; United Wholesale Mortgage, 8.6%; Wells Fargo, 5.4%; and Pennymac, 5.3%. 

  • The KBRA report indicates that 35% of the more than 101,000 loans in the reference pool were granted appraisal waivers. “It should be noted that while the acceptability of a property value or sales price based on the use of proprietary models and market data is assessed,” the KBRA report states, “it does so without Fannie Mae having performed a property review or having obtained a valuation of the property. As a result, KBRA applied a broad valuation haircut to such loans.”
  • The CAS-2022-R07 mortgage pool, according to KBRA, consists of fully documented prime loans “with generally strong credit characteristics” that “exhibit significantly more geographic diversification” than most prime residential mortgage-backed securities (RMBS) pools. 
  • “The borrowers in CAS 2022-R07 have a weighted average (WA) credit score of 748 and a WA debt-to-income (DTI) ratio of 35.2%, which are generally consistent with prime-quality underwriting,” the KBRA report notes. “The pool’s WA LTV and WA original combined loan-to-value (CLTV) are 74.4% and 74.7%, respectively.”
  • Slightly more than 19% of the mortgages in the loan pool were originated in California, with Texas (6.6%); Florida (6.4%); Colorado (4.8%); and Arizona (3.9%) rounding out the top five states for loan originations.

Through CAS note offerings, private investors participate with Fannie in sharing a portion of the mortgage credit risk in the reference loan pools retained by the agency. Investors receive principal and interest payments on the CAS notes they purchase, but if credit losses exceed a predefined threshold per the security issued, then investors are responsible for absorbing the losses exceeding that mark.


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CAS 2022-R07, once completed, will represent Fannie Mae’s 51st CAS deal. The agency will have issued nearly $58 billion in notes and transferred a portion of the credit risk to private investors on more than $1.8 trillion in single-family mortgage loans. So far in 2022, the seven CAS deals combined involve note offerings of $7.6 billion on reference loan pools totaling $272.6 billion in value.

The note offerings to date put Fannie Mae on pace so far to meet its projected note-offering goal for the year.

“In 2022, we look forward to bringing [to market] approximately $15 billion in our on-the-run CAS … transactions, subject to market conditions and other factors,” said Devang Doshi, senior vice president of single-family capital markets at Fannie Mae, in a statement about the CAS program. 

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