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Press Release

Fannie Mae Prices Latest Capital Markets Risk Sharing Transaction

May 19, 2015

Seventh Connecticut Avenue Securities deal since program's inception

Callie Dosberg


WASHINGTON, DC – Fannie Mae (FNMA/OTC) today announced that it priced its latest credit risk sharing transaction under its Connecticut Avenue Securities (CAS) series. The $1.449 billion note offering priced today and is scheduled to settle on May 27. This deal (Series 2015-C02) is consistent with prior transactions, and includes reference loans with original loan-to-value ratios (LTV) of up to 97 percent.    

“We were pleased to bring another strong CAS issuance to the market and were pleased with the broad participation and the strength of the book. This deal reinforces continued investor interest in the consistency of the CAS program and interest in opportunities for exposure to the national housing market,” said Laurel Davis, vice president for credit risk transfer at Fannie Mae. “We expect to continue to come to market with programmatic issuance on a quarterly basis, subject to market conditions, and look forward to preparing the market for our transition to an actual loss structure late this year. In the meantime, we remain committed to building liquidity and stability for the CAS program by offering regular, predictable issuance and a consistent deal structure and size. This approach has generated positive feedback from investors.”

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. The reference pool for the Series 2015-C02 transaction contains over 215,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $45 billion. This reference pool consists of eligible loans acquired from December 2013 through April 2014, part of Fannie Mae’s new book of business underwritten using strong credit standards and enhanced risk controls. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and the reference pool is subdivided into two loan groups by original LTV. Group one includes loans with original LTV ratios between 60.01 percent and 80.00 percent. Group two includes loans with original LTV ratios between 80.01 percent and 97.00 percent.

Pricing for the 1M-1 tranche was one-month LIBOR plus a spread of 115 basis points. Pricing for the 1M-2 tranche was one-month LIBOR plus a spread of 400 basis points. Pricing for the 2M-1 tranche was one-month LIBOR plus a spread of 120 basis points. Pricing for the 2M-2 tranche was one-month LIBOR plus a spread of 400 basis points. The transaction included participation from a broadly diversified group of both new and existing investors.

The 1M-1 tranche is expected to receive ratings of BBB-sf by Fitch Ratings and A3(sf) by Moody’s. The 2M-1 tranche is expected to receive ratings of BBB-sf by Fitch Ratings and Baa1(sf) by Moody’s. The 1M-2 tranche and 2M-2 tranche were not rated.  Fannie Mae retained the first loss and senior piece of the structure, as well as a vertical slice of the M1 and M2 tranches in both groups in order to align its interests with investors throughout the life of the deal.

JP Morgan Securities, LLC was the lead structuring manager and joint bookrunner and Bank of America Merrill Lynch was the co-lead manager and joint bookrunner on this transaction. Barclays Capital, Inc., Citigroup Inc, and Credit Suisse were co-managers, and The Williams Capital Group participated as a selling group member.

For more information on this transaction and Fannie Mae’s approach to credit risk transfer, visit

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