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Press Release

Fannie Mae Prices $1.371 Billion Connecticut Avenue Securities Risk Sharing Deal

May 2, 2017

Aleksandrs Rozens


WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its third credit risk sharing transaction of 2017 under its Connecticut Avenue Securities (CAS) program. CAS Series 2017-C03, a $1.371 billion note offering, is scheduled to settle on May 10, 2017. CAS is Fannie Mae's benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.

"Our third risk sharing transaction of the year was met with overwhelming demand by investors, who are drawn to the consistency of our program and the quality of the underlying collateral," said Laurel Davis, vice president of credit risk transfer, Fannie Mae. "Per our published deal calendar, we expect to return to the market with our next CAS deal, 2017-C04, in mid-May. Our upcoming deal will reference loans that have loan-to-value ratios between 80 and 97 percent."

The reference pool for CAS Series 2017-C03 consists of more than 167,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $41.2 billion. The loans in this reference pool have original loan-to-value ratios between 60 and 80 percent and were acquired from July 2016 through October 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.

Fannie Mae will retain a portion of the 1M-1, 1M-2, and 1B-1 tranches in order to align its interests with investors throughout the life of the deal.  Fannie Mae will retain the full 1B-2 tranche.

Class Offered Amount ($MM) Pricing Level Expected Rating
1M-1 $568.164 1-month Libor plus 95 bps Baa3 (sf) from Moody's and BBB (sf) from DBRS
1M-2 $607.347 1-month Libor plus 300 bps B2 (sf) from Moody's and B (high) (sf) from DBRS
1B-1 $195.918 1-month Libor plus 485 bps This class will not be rated

Barclays Capital ("Barclays") is the lead structuring manager and joint bookrunner and Merrill Lynch, Pierce, Fenner & Smith Inc. ("BofA Merrill") is the co-lead manager and joint bookrunner. Co-managers are Citigroup Global Markets ("Citigroup"), J.P. Morgan Securities LLC ("J.P. Morgan"), Morgan Stanley & Co. LLC ("Morgan Stanley") and Nomura Securities International, Inc. ("Nomura"). Selling group members are Academy Securities and Siebert Cisneros Shank & Co.

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 19 CAS deals to market since the program began, issued $23.9 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 $802 billion. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $989 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 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 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