Fannie Mae Prices $984 Million Connecticut Avenue Securities (CAS) REMIC Deal

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) priced Connecticut Avenue Securities® (CAS) Series 2021-R02, a $984 million note offering that represents Fannie Mae’s second 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.

"Our latest deal was met with high demand from a deep base of investors," said Devang Doshi, Senior Vice President, Single-Family Capital Markets, Fannie Mae. "Subject to market conditions, we look forward to returning to market next month with our final deal of the year, CAS 2021-R03, a low-LTV transaction."

The reference pool for CAS Series 2021-R02 consists of approximately 125,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $35 billion. The reference pool includes collateral with loan-to-value ratios of 80.01 percent to 97.00 percent, which were acquired from October through December 2020. 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 2M-1, 2M-2, 2B-1, and 2B-2 tranches in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 2B-3H first-loss tranche.

Nomura Securities International Inc. (“Nomura”) is the lead structuring manager and joint bookrunner. Citigroup Global Markets Inc. ("Citigroup") is the co-lead manager and joint bookrunner. Co-managers are BofA Securities, Inc. ("BofA Securities"), Morgan Stanley & Co. LLC ("Morgan Stanley"), StoneX Group Inc. ("StoneX"), and Wells Fargo Securities, LLC (“Wells Fargo”). Selling group members are service-disabled veteran-owned Academy Securities Inc. and African-American owned Blaylock Van, LLC.

With the completion of this transaction, Fannie Mae will have brought 43 CAS deals to market, issued over $49 billion in notes, and transferred a portion of the credit risk to private investors on over $1.6 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 regulation.

In addition to our flagship CAS program, Fannie Mae continues to reduce risk to taxpayers 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.