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Press Release

Fannie Mae Prices $1 Billion Connecticut Avenue Securities (CAS) REMIC Deal

February 3, 2020

Transaction Represents Company’s Continued Commitment to Credit Risk Transfer

Matthew Classick

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) priced Connecticut Avenue Securities® (CAS) Series 2020-R02, a $1.134 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.

"We are pleased with the strong execution for CAS 2020-R02 in the face of broader market volatility, and we believe that the fundamentals of the U.S. housing market remain strong," said Laurel Davis, Vice President of Credit Risk Transfer, Fannie Mae. "Subject to market conditions, we plan to return to market in late-February with our inaugural CAS Seasoned B-Tranche deal, CAS 2020-SBT1. The transaction will transfer a portion of risk previously retained by Fannie Mae on certain CAS deals issued in 2015 and 2016."

The reference pool for CAS Series 2020-R02 consists of approximately 111,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $29 billion. The reference pool includes one group of loans comprised of collateral with loan-to-value ratios of 80.01 percent to 97.00 percent, the majority of which were acquired from June through September 2019. 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, and 2B-1 tranches in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 2B-2H first-loss tranche.

Class Offered Amount ($MM) Pricing Level Expected Rating (Fitch/KBRA)
2M-1 $276.657 1-month Libor plus 75 bps BBB-(sf) / BBB (sf)
2M-2 $567.147 1-month Libor plus 200 bps B+(sf) / BB- (sf)
2B-1 $290.490 1-month Libor plus 300 bps This class will not be rated

BofA Securities, Inc. ("BofA Securities") is the lead structuring manager and joint bookrunner. Barclays Capital Inc. ("Barclays") is the co-lead manager and joint bookrunner. Co-managers are Citigroup Global Markets Inc. ("Citigroup"), Goldman Sachs & Co. LLC ("Goldman Sachs"), J.P. Morgan Securities LLC ("J.P. Morgan") and Morgan Stanley & Co. LLC ("Morgan Stanley"). Selling group members are Drexel Hamilton, LLC and Great Pacific Securities.

With the completion of this transaction, Fannie Mae will have brought 40 CAS deals to market, issued $46 billion in notes, and transferred a portion of the credit risk to private investors on close to $1.5 trillion in single-family mortgage loans, measured at the time of the transaction.

Fannie Mae received upgraded NAIC Designations for the 2019 Filing Year, as well as NAIC Breakpoints for CAS 2019-R02, which is the first time the NAIC has applied its Approved Modeling Process to a CAS REMIC transaction.

Fannie Mae's deliberate issuer strategy works to build the CAS program in a sustainable way to promote liquidity and to build a broad and diverse investor base. To promote transparency and to help investors evaluate our program, Fannie Mae provides ongoing, robust disclosure data to help credit investors evaluate the program, 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 both CAS deals that are currently outstanding in the market and Fannie Mae's historical loan dataset. In addition, our robust EU Resources webpage helps European Union institutional investors and those managing funds subject to EU regulations comply with EU 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 and other forms of risk transfer.

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.

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, 2018. 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.

Fannie Mae helps make the 30-year fixed-rate mortgage and affordable rental housing possible for millions of Americans. We partner 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 risk. To learn more, visit and follow us on