News Release

March 06, 2018

Fannie Mae Prices $1.007 Billion Connecticut Avenue Securities Risk Sharing Deal

Matthew Classick

202-752-3662

WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its second credit risk sharing transaction of 2018 under its Connecticut Avenue Securities (CAS) program. CAS Series 2018-C02, a $1.007 billion note offering, is scheduled to settle on March 14, 2018. CAS is Fannie Mae's benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.

"We saw strong market reception for our second transaction of 2018, CAS 2018-C02. Through the CAS program alone, we have now transferred a portion of credit risk on over $1 trillion in unpaid principal balance of single-family mortgages since the program began in 2013," said Laurel Davis, Fannie Mae’s Vice President of Credit Risk Transfer. "We continue to see a diversified investor base and were pleased to add new investors to the CAS program with this transaction. We expect to return to the market with our next deal during the April-May timeframe, subject to market conditions."

The reference pool for CAS Series 2018-C02 consists of more than 112,000 single-family mortgage loans with an aggregate outstanding unpaid principal balance of approximately $26.5 billion. The loans in this reference pool have original loan-to-value ratios between 80.01 and 97 percent and were acquired from June 2017 through October 2017. 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 2M-1, 2M-2, and 2B-1 tranches in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 2B-2 and 2A-H tranches.

ClassOffered Amount ($MM)Pricing LevelExpected Rating
2M-1 $188.817 1-month Libor plus 65 bps BBB-sf from Fitch Ratings and BBB+(sf) from KBRA
2M-2 $667.152 1-month Libor plus 220 bps Bsf from Fitch Ratings and B+(sf) from KBRA
2B-1 $151.053 1-month Libor plus 400 bps This class will not be rated

J.P. Morgan Securities LLC. ("J.P. Morgan") is the lead structuring manager and joint bookrunner and BNP Paribas Securities Corp ("BNP") is the co-lead manager and joint bookrunner. Co-managers are Merrill Lynch, Pierce, Fenner & Smith Incorporated ("BofA Merrill"), Citigroup Global Markets Inc. ("Citi"), Morgan Stanley & Co. LLC ("Morgan Stanley"), and Nomura Securities International ("Nomura"). Selling group members are Samuel A. Ramirez & Company, Inc. and The Williams Capital Group, L.P.

With the completion of this transaction, Fannie Mae will have brought 25 CAS deals to market since the program began, issued $31 billion in notes, and transferred a portion of the credit risk to private investors on over $1 trillion in single-family mortgage loans as part of the CAS program. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $1.3 trillion in single-family mortgages through all of its 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 sharing webpages. This includes Fannie Mae’s innovative Data Dynamics® tool, which enables market participants to analyze CAS deals that are currently outstanding.

In addition to the 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 notes are bonds issued by Fannie Mae. 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 and Fannie Mae’s approach to credit risk transfer, visit our credit risk sharing 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, 2017. 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 fanniemae.com and follow us on twitter.com/FannieMae.