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Press Release

Fannie Mae Prices $1.069 Billion Connecticut Avenue Securities Risk Sharing Deal

August 15, 2017

Alicia Jones


WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its sixth credit risk sharing transaction of 2017 under its Connecticut Avenue Securities (CAS) program. CAS Series 2017-C06, a note offering of approximately $1.1 billion, is scheduled to settle on August 23, 2017. 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 interest for our CAS 2017-C06 transaction, despite the increase in global market volatility seen over the last few weeks, and continue to see new investors in the program.” said Laurel Davis, vice president of credit risk transfer, Fannie Mae. “Our next and likely final CAS transaction of 2017 is scheduled for late October, subject to market conditions.”

The reference pool for CAS Series 2017-C06 consists of more than 135,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $31.9 billion. The reference pool will include two Groups, compromised of collateral with loan to value ratios of 60.01 to 80.00 percent and 80.01 to 97.00 percent.  The mortgage loans that have a loan to value ratio of 60.01 to 80.00 percent were acquired from January 2017 through February 2017 and mortgage loans that have a loan to value ratio of 80.01 to 97.00 percent were acquired from January 2017 through March 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 1M-1, 1M-2, 1B-1, 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 1B-2 and 2B-2 tranches.


Offered Amount

Pricing Level




1-month Libor plus 75 bps

BBB–sf from Fitch Ratings and
BBB+ (sf) from Kroll.



1-month Libor plus 265 bps

Bsf from Fitch Ratings and
BB (sf) from Kroll.



1-month Libor plus 415 bps

This class will not be rated







1-month Libor plus 75 bps

BBB–sf from Fitch Ratings and
BBB (sf) from Kroll



1-month Libor plus 280 bps

Bsf from Fitch Ratings and
B+ (sf) from Kroll



1-month Libor plus 445 bps

This class will not be rated

Barclays Capital Inc. (“Barclays”) is the lead structuring manager and joint bookrunner and Morgan Stanley & Co. LLC (“Morgan Stanley”) is the co-lead manager and joint bookrunner. Co-managers are Goldman Sachs & Co. LLC (“Goldman Sachs”), J.P. Morgan Securities LLC (“J.P. Morgan”), Merrill Lynch, Pierce, Fenner & Smith Inc. (“BofA Merrill Lynch”), and Nomura Securities International, Inc. (“Nomura”). Selling group members are Multi-Bank Securities Inc. and Great Pacific Securities.

With the completion of this transaction, Fannie Mae will have brought 22 CAS deals to market since the program began, issued $27.3 billion in notes, and transferred a portion of the credit risk to private investors on single-family mortgage loans with an original unpaid principal balance of approximately $908 billion. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $1.1 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. To view the periods in 2017 during which Fannie Mae may issue Connecticut Avenue Securities (CAS), please view our 2017 CAS Issuance Calendar.

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, 2016. 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 and follow us on