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Press Release

Fannie Mae Prices $738 Million Connecticut Avenue Securities (CAS) REMIC Deal

June 29, 2023

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) priced Connecticut Avenue Securities® (CAS) Series 2023-R05, an approximately $738 million note offering that represents Fannie Mae's fifth 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 2023-R05 consists of approximately 64,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $20.2 billion. The reference pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between May 2022 and June 2022. 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 initially will retain the full 1B-3H first-loss tranche.

Class Offered Amount ($MM) Pricing Level Expected Ratings (S&P/KBRA)
1M-1 $288.202 30-day average SOFR plus 190 bps A- (sf) / A- (sf)
1M-2 $230.559 30-day average SOFR plus 310 bps BBB (sf) / BBB+ (sf)
1B-1 $127.414 30-day average SOFR plus 475 bps BB- (sf) / BB+ (sf)
1B-2 $92.022 30-day average SOFR plus 685 bps B (sf) / BB- (sf)

Wells Fargo Securities, LLC ("Wells Fargo") 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"), Cantor Fitzgerald & Co. ("Cantor"), Morgan Stanley & Co, LLC (“Morgan Stanley”), and Nomura Securities International Inc. ("Nomura"). Selling group members are Service-Disabled Veteran-owned Drexel Hamilton, LLC and African-American & women-owned Siebert Williams Shank & Co., LLC.

With the completion of this transaction, Fannie Mae will have brought 58 CAS deals to market, issued over $62 billion in notes, and transferred a portion of the credit risk to private investors on over $2 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 our 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, Fannie Mae provides monthly loan-level and deal-level data in European Securities and Markets Authority (ESMA) Annex 2 and Annex 12 template formats directly in Data Dynamics. This data is provided on a go-forward basis for all benchmark CAS deals beginning with CAS 2019-R01. Our EU Resources and UK Resources webpages are designed to help European Union and UK institutional investors, as well as those managing funds subject to EU/UK 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 webpage.

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
Matthew Classick

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, 2022. 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.