Skip to main content
Press Release

Fannie Mae Prices $983 Million Connecticut Avenue Securities Risk Sharing Deal

July 26, 2018

Matthew Classick

WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its fifth credit risk sharing transaction of 2018 under its Connecticut Avenue Securities® (CAS) program. CAS Series 2018-C05, a $983 million note offering, is scheduled to settle on August 3, 2018. CAS is Fannie Mae's benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.

"We were pleased with another successful CAS deal brought to the market, which included participation from several new investors," said Laurel Davis, vice president of credit risk transfer, Fannie Mae. "We expect to return to the market with our next CAS deal, CAS 2018-C06, at the end of September."

The reference pool for CAS Series 2018-C05 consists of more than 116,000 single-family mortgage loans with an aggregate outstanding unpaid principal balance of approximately $28.7 billion. The loans in this reference pool have original loan-to-value ratios between 60.01 and 80 percent and were acquired from December 2017 through March 2018. 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 and 1A-H tranches.

Class Offered Amount ($MM) Pricing Level Expected Rating
1M-1 $204.725 1-month Libor plus 72 bps BBB-sf from Fitch Ratings and BBB (high) (sf) from DBRS
1M-2 $600.525 1-month Libor plus 235 bps Bsf from Fitch Ratings and B (high) (sf) from DBRS
1B-1 $177.428 1-month Libor plus 425 bps This class will not be rated

Merrill Lynch, Pierce, Fenner & Smith Inc. ("BofA Merrill Lynch") is the lead structuring manager and joint bookrunner and Nomura Securities International ("Nomura") is the co-lead manager and joint bookrunner. Co-managers are Citigroup Global Markets Inc. ("Citi"), Goldman Sachs & Co. LLC (“Goldman Sachs”), Morgan Stanley & Co. LLC ("Morgan Stanley"), and Wells Fargo Securities, LLC ("Wells Fargo Securities"). Selling group members are Academy Securities, Inc. and Siebert Cisneros Shank & Co., LLC.

With the completion of this transaction, Fannie Mae will have brought 28 CAS deals to market since the program began, issued $34 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 $1.5 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.

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