WASHINGTON, October 19, 2021 / PRNewswire / – Fannie Mae (OTCQB: FNMA) rated Connecticut Avenue Securities® (CAS) Series 2021-R01, a $ 1.2 billion offer note that represents Fannie Mae’s first CAS REMIC® operation of the year. CAS is Fannie Mae’s benchmark issuance program designed to share credit risk on its portfolio of conventional single-family guarantees.

“We are pleased with the execution of CAS 2021-R01, which has met strong demand from investors across all classes,” said Devang Doshi, Senior Vice President, Single Family Capital Markets, Fannie Mae. “Subject to market conditions, we look forward to returning to the market next month with CAS 2021-R02, a high LTV transaction.”

The benchmark portfolio for CAS 2021-R01 series consists of approximately 246,836 single-family mortgage loans with an outstanding principal balance of approximately $ 72 billion. The benchmark pool comprises a group of loans made up of guarantees with loan-to-value ratios of 60.01% to 80.00%, the majority of which were acquired from October to december 2020. The loans included in this transaction are fixed rate mortgages, generally with a term of 30 years, fully amortizing and were underwritten using stringent credit standards and enhanced risk controls.

Fannie Mae will retain part of the 1M-1, 1M-2, 1B-1, and 1B-2 tranches in order to align its interests with investors throughout the life of the operation. Fannie Mae will retain all 1B-3H first loss tranche.

To classify

Amount offered

(M $)

Pricing level

Expected

Evaluation

(S & P / DBRS Morningstar)

1M-1

$ 274,746

1 month average SOFR plus 75 bp

BBB + (sf) / BBB (high) (sf)

1M-2

$ 240,402

1-month average SOFR plus 155bp

BBB- (sf) / BBB (sf)

1B-1

$ 377,774

1 month average SOFR plus 310 bps

B + (sf) / BB (sf)

1B-2

$ 309,089

1 month average SOFR plus 600 bps

This class will not be evaluated

BofA Securities, Inc. (“BofA Securities”) is the lead structuring manager and associate bookrunner. Nomura Securities International Inc. (“Nomura”) is co-lead manager and associate bookrunner. The co-managers are Barclays Capital Inc. (“Barclays”), Citigroup Global Markets Inc. (“Citigroup”), Morgan Stanley & Co. LLC (“Morgan Stanley”) and StoneX Group Inc. (“StoneX”). Members of the sales group are Academy Securities Inc. and Van blaylock, LLC.

With the completion of this transaction, Fannie Mae will have put on the market 42 CAS deals, issued 48 billion dollars in notes, and transferred part of the credit risk to private investors over more than $ 1.5 trillion in single-family mortgages, measured at the time of the transaction.

To promote transparency and help investors evaluate our securities, Fannie Mae provides strong and ongoing disclosure data to help credit investors evaluate the program, as well as access to news, resources and analysis through its Credit Risk Transfer Web Pages. This includes the innovation of Fannie Mae Data dynamics® tool that allows market participants to interact and analyze both the CAS transactions currently in progress in the market and the historical loan dataset of Fannie Mae. In addition, our robust EU resources and British Resources The web pages help institutional investors in the European Union and UK, as well as those who manage funds subject to EU / UK regulations, to comply with EU / UK securitization regulations.

In addition to our flagship CAS program, Fannie Mae continues to reduce risk for taxpayers through her credit insurance risk transfer (CIRT) reinsurance program.

About Connecticut Avenue Securities:

CAS REMIC tickets 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 diversified benchmark pool. For more information on individual CAS transactions, visit our credit risk transfer site.

About Fannie Mae

Fannie Mae is helping make 30-year fixed rate mortgage and affordable rental housing possible for millions of people in America. We work in partnership with lenders to create housing opportunities for families across the country. We are driving positive changes in housing finance to make the home buying process easier, while reducing costs and risks. To learn more, visit:

fanniemae.com | Twitter | Facebook | LinkedIn | Instagram | Youtube | Blog

Fannie Mae Newsroom

https://www.fannimae.com/newsroom

Photo by Fannie Mae

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Fannie Mae Resource Center

1-800-2FANNIE

The statements contained in this press release regarding the Company’s future CAS transactions are forward-looking. Actual results may be materially different due to 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 press release does not constitute an offer or a sale of any security. Before investing in any security issued by Fannie Mae, potential investors should review the disclosure of that security and consult their own investment advisers.

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SOURCE Fannie Mae



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