Fannie Mae Prices $1.2 Billion Connecticut Avenue Securities (CAS) REMIC Deal

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) priced Connecticut Avenue Securities® (CAS) Series 2021-R01, a $1.2 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.

"We are pleased with the execution of CAS 2021-R01, which was met with strong investor demand across all classes," said Devang Doshi, Senior Vice President, Single-Family Capital Markets, Fannie Mae. "Subject to market conditions, we look forward to returning to market next month with CAS 2021-R02, a high-LTV transaction."

The reference pool for CAS Series 2021-R01 consists of approximately 246,836 single-family mortgage loans with an outstanding unpaid principal balance of approximately $72 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 October through December 2020. 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 in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 1B-3H first-loss tranche.

BofA Securities, Inc. ("BofA Securities") is the lead structuring manager and joint bookrunner. Nomura Securities International Inc. (“Nomura”) is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital Inc. ("Barclays"), Citigroup Global Markets Inc. ("Citigroup"), Morgan Stanley & Co. LLC ("Morgan Stanley") and StoneX Group Inc. ("StoneX"). Selling group members are Academy Securities Inc. and Blaylock Van, LLC.

With the completion of this transaction, Fannie Mae will have brought 42 CAS deals to market, issued $48 billion in notes, and transferred a portion of the credit risk to private investors on over $1.5 trillion in single-family mortgage loans, measured at the time of the transaction.

To promote transparency and to help investors evaluate our securities, 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 and UK Resources webpages help European Union and UK institutional investors, as well as those managing funds subject to EU/UK regulations comply with EU/UK 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.

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.