Home Real Estate Investing Fannie Mae Steps Up Credit Risk Sharing with $766M CAS Offering

Fannie Mae Steps Up Credit Risk Sharing with $766M CAS Offering

Fannie Mae has priced its sixth Connecticut Avenue Securities® (CAS) Series 2023-R06 transaction of the year, a $766 million note offering. The offering is part of Fannie Mae’s benchmark issuance program, developed to share credit risk on its single-family conventional guaranty book of business.

“We are pleased with the sustained demand for our CAS transactions from a deep and diverse investor base,” stated Kathleen Pagliaro, Vice President of Credit Risk Transfer at Fannie Mae. Two additional deals are expected later this year, market conditions permitting.

The reference pool for CAS Series 2023-R06 consists of roughly 64,000 single-family mortgage loans with an outstanding unpaid principal balance of around $20.3 billion. The collateral in the reference pool includes loans with loan-to-value ratios of 60.01 percent to 80.00 percent, acquired between July and October 2022. The loans included are fixed-rate, 30-year term, fully amortizing mortgages, underwritten using stringent credit standards and enhanced risk controls.

In this transaction, Fannie Mae will retain portions of the 1M-1, 1M-2, 1B-1, and 1B-2 tranches and will initially retain the full 1B-3H first-loss tranche. BofA Securities is the lead structuring manager and joint bookrunner for the transaction, with StoneX Financial as the co-lead manager and joint bookrunner. Other co-managers include Cantor Fitzgerald & Co., Morgan Stanley & Co, Nomura Securities International Inc., and Santander US Capital Markets LLC.

Upon completion of this transaction, Fannie Mae will have conducted 59 CAS deals, issued more than $63 billion in notes, and transferred a portion of the credit risk to private investors on over $2.1 trillion in single-family mortgage loans.

Fannie Mae continues to promote transparency and facilitate credit investor evaluations by providing ongoing disclosure data, news, resources, and analytics, including its innovative Data Dynamics® tool and monthly loan-level and deal-level data in European Securities and Markets Authority (ESMA) template formats.