Fannie Mae Prices $1.5 Billion Connecticut Avenue Securities (CAS) REMIC Deal

WASHINGTON, Jan. 11, 2022 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) priced Connecticut Avenue Securities^® (CAS) Series 2022-R01, an approximately $1.5 billion note offering that represents Fannie Mae's first CAS REMIC^® transaction of the year. CAS is Fannie Mae's benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.

The reference pool for CAS Series 2022-R01 consists of approximately 180,000 single-family mortgage loans with an outstanding unpaid principal balance of nearly $54 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired in January through March 2021¹. 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 will retain a portion of the 1M-1, 1M-2, 1B-1, and 1B-2 tranches and will retain the full 1B-3H first-loss tranche.

BofA Securities, Inc. ("BofA Securities") is the lead structuring manager and joint bookrunner. Nomura Securities International Inc. ("Nomura") is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital Inc. ("Barclays"), Citigroup Global Markets Inc. ("Citi"), Morgan Stanley & Co. LLC ("Morgan Stanley"), and StoneX Financial Inc. ("StoneX"). Selling group members are African American-owned CastleOak Securities L.P. and African American & women-owned Siebert Williams Shank & Co., LLC.

With the completion of this transaction, Fannie Mae will have brought 45 CAS deals to market, issued over $51 billion in notes, and transferred a portion of the credit risk to private investors on just under $1.7 trillion in single-family mortgage loans, measured at the time of the transaction.

To promote transparency and to help credit investors evaluate our securities and the CAS program, Fannie Mae provides ongoing, robust disclosure data, as well as access to news, resources, and analytics through its credit risk transfer webpages. This includes Fannie Mae's innovative Data Dynamics^® tool that enables market participants to interact with and analyze CAS deals that are currently outstanding in the market and Fannie Mae's historical loan dataset. In addition, our EU Resources and UK Resources webpages help European Union and UK institutional investors, as well as those managing funds subject to EU/UK regulations comply with EU/UK securitization regulations.

In addition to our flagship CAS program, Fannie Mae continues to transfer mortgage credit risk through its Credit Insurance Risk Transfer^™ (CIRT^™) reinsurance program.

About Connecticut Avenue Securities
CAS REMIC notes 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 diverse reference pool. For more information on individual CAS transactions, visit our credit risk transfer website.

About Fannie Mae
Fannie Mae helps make the 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 risk. To learn more, visit:
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Statements in this release regarding the company's future CAS transactions are forward-looking. Actual results may be materially different as a result of 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 release does not constitute an offer or sale of any security. Before investing in any Fannie Mae issued security, potential investors should review the disclosure for such security and consult their own investment advisors.

¹ Available January 2021 loans include 431 loans with an unpaid principal balance of ~$136MM representing ~0.25% of the total Reference Pool.

SOURCE Fannie Mae