Fannie Mae prices ninth CAS note offering of 2022

The credit-risk transfer deal involves a reference pool of some 96,000 home loans valued at more than $29 billion

Fannie Mae has launched its ninth Connecticut Avenue Series (CAS) credit-risk transfer deal of 2022, a $$591 million note offering backed by a reference pool of single-family mortgages. 

The transaction, CAS 2022-RO9, involves a reference pool of 96,000 single-family mortgages with an outstanding principal balance of $29.3 billion. The loans in the reference pool have loan-to-value ratios ranging from 80.01 percent to 97.00 percent and were acquired between September 2021 and December 2021. 

“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 states in announcing the deal.

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.

Citigroup Global Markets Inc. is acting as the lead structuring manager and joint bookrunner. Wells Fargo Securities LLC will serve as co-lead manager and joint bookrunner. 

Co-managers for the offering include Amherst Pierpont Securities LLCBarclays Capital Inc.BofA Securities Inc. and Performance Trust Capital Partners LLC. Selling group members include service-disabled veteran-owned firm Mischler Financial Group Inc. and Hispanic-owned Great Pacific Securities, according to the Fannie Mae deal announcement.

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Fannie Mae unveiled its eighth Connecticut Avenue Series (CAS) credit-risk transfer deal of 2022 in late July, a $626.3 million note offering backed by a reference pool of 67,844 single-family mortgages valued at $20.4 billion.

With the completion of the CAS 2022-RO9 transaction, Fannie Mae will have brought 53 CAS deals to market, issued some $59 billion in notes and transferred to the private sector a share of the credit risk on more than $1.96 trillion in single-family mortgage loans.

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