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Press Release

Fannie Mae Prices $1.33 Billion Connecticut Avenue Securities Risk Sharing Deal

March 15, 2017

Aleksandrs Rozens


WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its second­­­­ credit risk sharing transaction of 2017 under its Connecticut Avenue Securities™ (CAS) program. CAS Series 2017-C02, a $1.33 billion note offering, is scheduled to settle on March 22, 2017. CAS is Fannie Mae’s benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.

The reference pool for CAS Series 2017-C02 consists of more than 170,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $39.9 billion. The loans in this reference pool have original loan-to-value ratios between 80.01 and 97.00 percent and were acquired from May 2016 through September 2016. 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.

“We were very pleased with the strong market reception to our second transaction of the year, which was our largest-ever offering of notes referencing loans with loan-to-value ratios above 80%,” said Laurel Davis, vice president of credit risk transfer, Fannie Mae. “We continue to see a deep investor base and were thrilled to add a number of new investors to the CAS program with this transaction. Investors have continued to demonstrate a healthy appetite for Fannie Mae’s credit investments, which are backed by high-quality loans with strong credit risk management throughout the life of the loan.”

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 tranche.

Class Offered Amount ($MM) Pricing Level Expected Rating
2M-1 $379.890 1-month Libor plus 115 bps BBB-sf from Fitch Ratings and BBB(sf) from KBRA, Inc.
2M-2 $759.779 1-month Libor plus 365 bps Bsf from Fitch Ratings and B+(sf) from KBRA, Inc.
2B-1 $189.945 1-month Libor plus 550 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 Paribas”) is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital Inc. (“Barclays”), Citigroup Global Markets Inc. (“Citi”), Merrill Lynch, Pierce, Fenner & Smith Incorporated (“BofA Merrill”), and Wells Fargo Securities, LLC (“Wells Fargo Securities”). Selling group members are CastleOak Securities, L.P. and Academy Securities Inc. 

Through this transaction and other credit risk sharing programs, Fannie Mae increases the role of private capital in the mortgage market and reduces taxpayer risk. With the completion of this transaction, Fannie Mae will have brought 18 CAS deals to market since the program began, issued $22.5 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 $760.9 billion. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $923.6 billion 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 DynamicsTM tool, which enables market participants to analyze CAS deals that are currently outstanding. Data Dynamics now includes an interactive geospatial map feature, providing investors with a new way to view loan profile and performance data for Fannie Mae’s CAS deals.

In addition to the flagship CAS program, which won a “Deal of the Year” award from Risk Magazine in January of 2017, 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 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