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Fannie Mae launches eighth CAS note offering this year

The $626M transaction is the agency’s 52nd CAS deal since the credit-risk transfer program was launched

Fannie Mae has unveiled its eighth Connecticut Avenue Series (CAS) credit-risk transfer deal of 2022, a $626.3 million note offering backed by a reference pool of single-family mortgages valued at $20.4 billion.

The offering is slated to close Aug. 5, according to a presale review by the Kroll Bond Rating Agency (KBRA). This latest CAS transaction, CAS 2022-R08, involves a reference pool of 67,644 single-family mortgage loans.

The states with the largest concentrations of mortgages in the reference loan pool for the credit-risk transfer (CRT) offering are California, 18.3%; Texas, 7.2%; Florida, 6.8%; Washington, 4.5%; and Arizona, 4%, according to KBRA. The leading originators for the loans in the offering based on the percentage of loans originated in the reference pool are Rocket Mortgage, 14.3%; United Wholesale Mortgage, 6.4%; Wells Fargo, 4%; and Pennymac, 3.9%.

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.

With the completion of this eighth CAS transaction of 2022, Fannie Mae will have brought a total of 52 CAS deals to market since the program was started in 2013, issued some $58 billion in notes, and transferred a portion of the credit risk to private investors on over $1.9 trillion in single-family mortgage loans, measured at the time of the transaction.

This new CAS credit-risk transfer deal follows two CAS note offerings executed in June and reviewed by KBRA. 

  • CAS 2022-R06 involved a $754.4 million note offering backed by a reference loan pool of 83,420 single-family mortgages valued at $25 billion.
  • CAS 2022-R07 involved an $866 million note offering secured by a reference loan pool of 101,170 single-family mortgage loans valued at $30.6 billion.

Fannie Mae operates two CRT programs — its CAS note offerings and its Credit Insurance Risk Transfer, or CIRT, transactions. Through the CIRT, a portion of the credit risk on mortgages backed by Fannie is shifted to insurers in the private sector. The agencies pay monthly premiums in exchange for insurance coverage on a portion of the designated reference loan pools.


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Fannie Mae last week executed two new Credit Insurance Risk Transfer (CIRT) deals — the seventh and eighth of 2022 — dubbed CIRT 2022-7 and CIRT 2022-8. The two transactions convey a combined $1 billion in mortgage credit risk to private insurers and re-insurers as part of the agency’s ongoing effort to share risk with the private sector. 

Since the CIRT program’s inception in 2013 to date, Fannie Mae has acquired some $21 billion in insurance coverage on a total of $709 billion of single-family loans, Fannie Mae states in the announcement of the latest CIRT deals. 

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