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Press Release

Fannie Mae Prices Latest Capital Markets Risk Sharing Transaction

November 19, 2014

November Issuance Helps Meet Investor Demand, Shifts Risk Away from the Company

Callie Dosberg


WASHINGTON, DC – Fannie Mae (FNMA/OTC) today announced that it priced its fourth and final credit risk sharing transaction of 2014 under its Connecticut Avenue Securities (CAS) series. The $1.449 billion note offering priced today and is scheduled to settle on November 25. This deal (Series 2014-C04) is consistent with prior transactions, and includes reference loans with original loan-to-value ratios (LTV) of up to 97 percent.

“In our first year of offering Connecticut Avenue Securities transactions there has been a steady interest in these deals as investors continue to demonstrate an appetite for these opportunities and we see new investors participate in each deal. We have been actively working to generate additional new interest and expand the investor base and liquidity of the program,” said Laurel Davis, vice president for credit risk transfer at Fannie Mae. “We plan to continue a regular program of benchmark issuance, and in 2015 we anticipate that we will be in the market on a quarterly basis, subject to market conditions.”

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 2014-C04 transaction contains over 235,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $54 billion. This reference pool consists of eligible loans acquired in July and August of 2013, 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 195 basis points. Pricing for the 1M-2 tranche was one-month LIBOR plus a spread of 490 basis points. Pricing for the 2M-1 tranche was one-month LIBOR plus a spread of 210 basis points. Pricing for the 2M-2 tranche was one-month LIBOR plus a spread of 500 basis points. The transaction included participation from both new and existing broadly-diversified investors.

The 1M-1 tranche is expected to receive ratings of Baa3 (sf) by Moody’s and BBB (sf) by DBRS, Inc. The 2M-1 tranche is expected to receive ratings of Baa2 (sf) by Moody’s and BBB (low) (sf) by DBRS, Inc. 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.

Barclays Capital, Inc. was the lead structuring manager and joint bookrunner and Credit Suisse was the co-lead manager and joint bookrunner on this transaction. Bank of America Merrill Lynch, JP Morgan Securities, LLC, Citigroup Inc. and Nomura Securities International, Inc. were co-managers, and Drexel Hamilton 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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