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Fannie Mae launches eighth CAS note offering this season

Fannie Maehas unveiled its eighth Connecticut Avenue Series (CAS) credit-risk transfer deal of 2022, a $626.3 million note offering backed by way of a reference pool of single-family mortgages valued at $20.4 billion.

The offering is slated to close Aug. 5, in accordance with a presale review by theKroll Bond Rating Agency(KBRA). This latest CAS transaction, CAS 2022-R08, involves a reference pool of 67,644 single-family home loans.

The states with the biggest concentrations of mortgages in the reference loan pool for the credit-risk transfer (CRT) offering are California, 18.3%; Texas, 7.2%; Florida, 6.8%; Washington, 4.5%; and Arizona, 4%, in accordance with KBRA. The best originators for the loans in the offering in line with the percentage of loans started in the reference pool areRocket Mortgage, 14.3%;United Wholesale Mortgage, 6.4%;Wells Fargo, 4%; andPennymac, 3.9%.

Through CAS note offerings, private investors participate with Fannie in sharing some of the mortgage credit risk in the reference loan pools retained by the agency. Investors receive principal and interest payments on the CAS notes they purchase, but if credit losses exceed a predefined threshold per the security issued, then investors have the effect of absorbing the losses exceeding that mark.

With the completion of the eighth CAS transaction of 2022, Fannie Mae could have brought a complete of 52 CAS deals to advertisebecause the program was were only available in 2013, issued some $58 billion in notes, and transferred some of the credit risk to private investors on over $1.9 trillion in single-family home loans, measured during the transaction.

This new CAS credit-risk transfer dealfollows two CAS note offeringsexecuted in June and reviewed by KBRA.

  • CAS 2022-R06 involved a $754.4 million note offering backed by way of a reference loan pool of 83,420 single-family mortgages valued at $25 billion.
  • CAS 2022-R07 involved an $866 million note offering secured by way of a reference loan pool of 101,170 single-family home loans valued at $30.6 billion.

Fannie Mae operates two CRT programs itsCAS note offeringsand its ownCredit Insurance Risk Transfer, or CIRT, transactions. Through the CIRT, some of the credit risk on mortgages backed by Fannie is shifted to insurers in the private sector. The agencies pay monthly premiums in trade for insurance plan on some of the designated reference loan pools.

Fannie Mae the other dayexecuted two newCredit Insurance Risk Transfer(CIRT) deals the seventh and eighth of 2022 dubbed CIRT 2022-7 and CIRT 2022-8.Both transactions convey a combined $1 billion in mortgage credit risk to private insurers and re-insurers within the agencys ongoing effort to talk about risk with the private sector.

Because the CIRTprograms inception in 2013 up to now, Fannie Mae has acquired some $21 billion in insurance plan on a complete of $709 billion of single-family loans, Fannie Mae states in the announcement of the most recent CIRT deals.

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