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Press Release

Fannie Mae Prices $1.2 Billion Connecticut Avenue Securities (CAS) REMIC Deal

February 2, 2022

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) priced Connecticut Avenue Securities® (CAS) Series 2022-R02, an approximately $1.2 billion 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.

The reference pool for CAS Series 2022-R02 consists of approximately 149,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $44 billion. The reference pool includes collateral with loan-to-value ratios of 80.01 percent to 97.00 percent, which were acquired between January 2021 and April 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 will retain a portion of the 2M-1, 2M-2, 2B-1, and 2B-2 tranches and will retain the full 2B-3H first-loss tranche.

Class Offered Amount ($MM) Pricing Level Expected Rating (Fitch/KBRA)
2M-1 $357.546 1-month average SOFR plus 120 bps BBB (sf) / BBB (sf)
2M-2 $378.576 1-month average SOFR plus 300 bps BB (sf) / BBB- (sf)
2B-1 $273.416 1-month average SOFR plus 450 bps B+ (sf) / BB (sf)
2B-2 $231.353 1-month average SOFR plus 765 bps NR / B (sf)

Morgan Stanley & Co. LLC ("Morgan Stanley") is the lead structuring manager and joint bookrunner. Nomura Securities International Inc. ("Nomura") is the co-lead manager and joint bookrunner. Co-managers are Citigroup Global Markets Inc. ("Citi"), BofA Securities, Inc. ("BofA), Wells Fargo Securities LLC ("Wells Fargo"), and StoneX Financial Inc. ("StoneX"). Selling group members are Hispanic-owned Great Pacific Securities and African American-owned Loop Capital Markets LLC.

With the completion of this transaction, Fannie Mae will have brought 46 CAS deals to market, issued over $52 billion in notes, and transferred a portion of the credit risk to private investors on just under $1.8 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 advances equitable and sustainable access to homeownership and quality, affordable rental housing for millions of people across America. We enable the 30-year fixed-rate mortgage and drive responsible innovation to make homebuying and renting easier, fairer, and more accessible. To learn more, visit: | Twitter | Facebook | LinkedIn | Instagram | YouTube | Blog

Media Contact
Christopher Davis

Fannie Mae Newsroom

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Fannie Mae Resource Center

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.