Fannie Mae prices $754M Connecticut Avenue Securities REMIC transaction

Fannie Mae priced a roughly $754 million note offering representing its sixth Connecticut Avenue Securities real estate mortgage investment conduit transaction of 2022.

The reference pool for Connecticut Avenue Securities Series 2022-R06, or CAS Series 2022-R06, comprises about 83,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $25.0 billion. It includes collateral with loan-to-value ratios of 60.01% to 80.00%, which were acquired between June 2021 and July 2021. The loans included in the transaction are fixed-rate, generally 30-year term, fully amortizing mortgages.

Fannie Mae will retain a portion of the 1M-1, 1M-2, 1B-1 and 1B-2 tranches and will retain the full 1B-3H first-loss tranche.

For the 1M-1 class, the offered amount is $332.5 million and the pricing level is a one-month average secured overnight financing rate, plus 275 basis points. For the 1M-2 class, the offered amount is $249.4 million and the pricing level is a one-month average Sofr plus 385 bps.

The offered amount is $90.0 million for the 1B-1 class and $82.5 million for the 1B-2 class. The pricing levels are one-month average Sofr plus 635 bps and one-month average Sofr plus 1,060 bps, respectively.

BofA Securities Inc. is the lead structuring manager and joint bookrunner for the transaction. Nomura Securities International Inc. is the co-lead manager and joint bookrunner. Amherst Pierpoint Securities LLC, Barclays Capital Inc., Citigroup Global Markets Inc. and Credit Suisse Securities (USA) LLC are the co-managers. The selling group members are Academy Securities Inc. and CastleOak Securities LP.