Fannie Mae Prices $963 Million Connecticut Avenue Securities (CAS) Refi Plus Deal
Transaction Represents Company's Continued Commitment to Credit Risk Transfer
WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) priced its first Connecticut Avenue Securities® transaction referencing a pool of seasoned Refi Plus™ loans. The Refi Plus program includes but is not limited to the Home Affordable Refinance Program, or HARP®. CAS Series 2019-HRP1 is a $963 million note offering that utilizes a credit-linked note structure and represents the eighth transaction of 2019 under the CAS program. Fannie Mae's issuance program is designed to share credit risk on its single-family conventional guaranty book of business.
“We were pleased to see such strong demand for our first CAS seasoned loan transaction. CAS 2019-HRP1 is expected to be the first in a limited series of CAS transactions over the next several years referencing loans originated under Fannie Mae’s Refi Plus Program” said Laurel Davis, Vice President of Credit Risk Transfer, Fannie Mae. “As part of our ongoing capital management efforts, we anticipate bringing three to five seasoned loan deals of varying sizes and loan types to market in 2020, subject to market conditions and other factors.”
This will be Fannie Mae’s final CAS transaction of 2019. The company expects to return to the market in mid-January with a transaction referencing newly acquired loans as part of its ongoing benchmark CAS program. The projected 2020 CAS issuance calendar can be found on Fannie Mae’s website.
The reference pool for CAS Series 2019-HRP1 consists of approximately 841,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $106.8 billion. The reference pool includes loans comprised of collateral with weighted average estimated loan-to-value ratios of approximately 45%, acquired from April 2009 through October 2012. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages.
Fannie Mae will retain a portion of the M-2 and B-1 tranches in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full B-2H first loss tranche.
|Offered Amount ($MM)
|Expected Rating (S&P/KBRA)
|1-month Libor plus 215 bps
|B (sf) / B (sf)
|1-month Libor plus 925 bps
|This class will not be rated
BofA Securities, Inc. ("BofA Securities") is the lead structuring manager and joint bookrunner and Citigroup Global Markets Inc. ("Citi") is the co-lead manager and joint bookrunner. Co-managers are J.P. Morgan Securities LLC ("J.P. Morgan"), Morgan Stanley & Co. LLC ("Morgan Stanley"), Nomura Securities International, Inc. ("Nomura"), and Wells Fargo Securities, LLC (“Wells Fargo Securities”). Selling group members are Academy Securities, Inc. and Blaylock Van, LLC ("Blaylock").
With the completion of this transaction, Fannie Mae will have brought 38 CAS deals to market, issued $44 billion in notes, and transferred a portion of the credit risk to private investors on more than $1.4 trillion in single-family mortgage loans, measured at the time of the transaction. Since 2013, Fannie Mae has transferred a portion of the credit risk on close to $2.0 trillion in single-family mortgages, measured at the time of the transaction, through all of its credit risk transfer programs.
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 recently enhanced EU Resources page 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.
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.