Skip to main content
Press Release

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

January 14, 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-R01, a $1.03 billion note offering that represents Fannie Mae's first 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.

"As we enter the seventh year of the CAS program, we are pleased to see the growth, stability, and liquidity of this market supported by a deep and diverse investor base," said Laurel Davis, Vice President of Credit Risk Transfer, Fannie Mae. "Our single-family credit risk transfer programs recently crossed a significant milestone, transferring a portion of credit risk on over $2 trillion in underlying loans since 2013. Subject to market conditions, we plan to return to market in mid-February with a high-LTV CAS deal."

The reference pool for CAS Series 2020-R01 consists of approximately 105,000 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 60.01 percent to 80.00 percent, the majority of which were acquired from June through August 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 1M-1, 1M-2, and 1B-1 tranches in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 1B-2H first loss tranche.

Morgan Stanley & Co. LLC ("Morgan Stanley") is the lead structuring manager and joint bookrunner Wells Fargo Securities, LLC ("Wells Fargo Securities") is the co-lead manager and joint bookrunner. Co-managers are BofA Securities, Inc. ("BofA Securities"), Citigroup Global Markets Inc. ("Citigroup"), Goldman Sachs & Co. LLC (“Goldman Sachs, and Nomura Securities International, Inc. ("Nomura"). Selling group members are Drexel Hamilton, LLC and Loop Capital Markets, LLC.

With the completion of this transaction, Fannie Mae will have brought 39 CAS deals to market, issued $45 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.

Class Offered Amount ($MM) Pricing Level Expected Rating (Fitch/KBRA)
1M-1 $303.085 1-month Libor plus 80 bps BBB-sf / BBB+ (sf)
1M-2 $523.509 1-month Libor plus 205 bps Bsf / BB (sf)
1B-1 $206.648 1-month Libor plus 325 bps This class will not be rated

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 is working with the NAIC to review all other CAS REMIC transactions issued in 2018 and 2019.

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