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Press Release

Fannie Mae Prices $1.3 Billion Connecticut Avenue Securities (CAS) REMIC Deal

October 2, 2019

Transaction Represents Company's Continued Commitment to Credit Risk Transfer

Christopher Davis

WASHINGTON, DC – Fannie Mae (FNMA/OTCQB) priced Connecticut Avenue Securities® (CAS) Series 2019-R06, a $1.3 billion note offering that represents Fannie Mae's latest CAS REMIC transaction. 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 sustained demand for our CAS transactions from a deep and diverse investor base," said Laurel Davis, Vice President of Credit Risk Transfer, Fannie Mae. "We expect to return to the market with our final low-LTV CAS deal of the year in late October, subject to market conditions."

The reference pool for CAS Series 2019-R06 consists of approximately 131,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $33 billion. The reference pool includes one group of loans comprised of collateral with loan-to-value ratios of 80.01 percent to 97.00 percent, the majority of which were acquired from January through June 2019. 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-2H first loss tranche.

Class Offered Amount ($MM) Pricing Level Expected Rating (S&P/Morningstar)
2M-1 $233.828 1-month Libor plus 75 bps BBB-(sf) / A-
2M-2 $732.660 1-month Libor plus 210 bps B(sf) / BB+
2B-1 $327.360 1-month Libor plus 375 bps This class will not be rated

Bank of America Merrill Lynch ("BofA Merrill Lynch") 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 Citigroup Global Markets Inc. ("Citigroup"), Goldman Sachs & Co. LLC ("Goldman Sachs"), J.P. Morgan Securities LLC ("J.P. Morgan"), and Nomura Securities International, Inc. ("Nomura"). Selling group members are Ramirez & Co. and Williams Capital Group.

With the completion of this transaction, Fannie Mae will have brought 36 CAS deals to market, issued $42 billion in notes, and transferred a portion of the credit risk to private investors on more than $1.3 trillion in single-family mortgage loans, measured at the time of the transaction. Since 2013, Fannie Mae has transferred a portion of the credit risk on more than $1.8 trillion in single-family mortgages, measured at the time of the transaction, through all of its credit risk transfer programs. In 2018, Fannie Mae introduced the CAS REMIC, which helps to expand the CAS investor base and further enhance the long-term liquidity of the program.

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 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 recently enhanced EU Resources page, helps European Union institutional investors and those managing funds subject to EU regulations comply with EU 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 and other forms of risk transfer.

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.

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