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Press Release

Fannie Mae Prices Latest Connecticut Avenue Securities Risk Sharing Deal

November 1, 2016


Fannie Mae (FNMA/OTC) has priced its latest credit risk sharing transaction under its Connecticut Avenue Securities (CAS) series, CAS 2016-C06, a $1.024 billion note offering scheduled to settle on November 9, 2016.

Through this transaction and other credit risk sharing programs, the company is increasing the role of private capital in the mortgage market and reducing taxpayer risk. After this transaction is completed, Fannie Mae will have brought 15 CAS deals to market since the program began, issued $19.1 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 $655 billion. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $794 billion in single-family mortgages through all of its risk transfer programs.

“We’re pleased to have issued another successful CAS deal in the market with our CAS 2016-C06 transaction. We see continued strong interest in Fannie Mae’s credit-risk sharing programs.  We have significantly increased our focus on innovations in information sharing for current and prospective investors to help maintain and expand the investor base in a growing market. Our recently enhanced credit risk sharing website was developed based on feedback from extensive investor outreach, and provides greater transparency and ease of access to news, information, and analytics about our CAS and other credit risk transfer programs,” said Laurel Davis, vice president of credit risk transfer, Fannie Mae.

Pricing for the 1M-1 tranche was one-month LIBOR plus a spread of 130 basis points. Pricing for the 1M-2 tranche was one-month LIBOR plus a spread of 425 basis points. Pricing for the 1-B tranche was one-month LIBOR plus a spread of 925 basis points.

The 1M-1 tranche is expected to receive ratings of BBB-(sf) from Fitch and BBB(sf) from KBRA, Inc. The 1M-2 tranche is expected to receive ratings of B+(sf) from Fitch as and BB-(sf) from KBRA, Inc. The 1-B tranche will not be rated. Fannie Mae will retain a portion of the 1M-1, 1M-2, and 1-B tranches in order to align its interests with investors throughout the life of the deal.

Bank of America Merrill Lynch was the lead structuring manager and joint bookrunner and J.P. Morgan was the co-lead manager and joint bookrunner on this transaction. Barclays, Citigroup, Goldman, Sachs & Co., and Wells Fargo Securities were co-managers. With this transaction, Fannie Mae continues the involvement of Minority, Women, Veteran, and Disabled-Owned Businesses in the CAS program, with both Drexel Hamilton LLC and Loop Capital Markets LLC participating as selling group members.

Fannie Mae continues to issue notes based on an actual loss framework for Connecticut Avenue Securities transactions, in which a portion of losses are passed through based on the realized losses of the loans following final disposition. The company significantly enhanced its disclosure data for investors to support this new framework, and to provide additional transparency, has greatly enhanced its credit risk sharing webpages to provide investors with further access to news, resources, and analytics. This included the launch of Fannie Mae’s Data DynamicsTM tool, which enables market participants to analyze CAS deals that are currently outstanding in the market as well as Fannie Mae’s comprehensive historical loan dataset of over 23 million loans.

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 2016 during which Fannie Mae may issue Connecticut Avenue Securities (CAS), please view our 2016 CAS Issuance Calendar.

About Fannie Mae
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: | Twitter | Facebook | LinkedIn | Instagram | YouTube | Blog

Media Contact
Pete Bakel

Fannie Mae Newsroom

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Fannie Mae Resource Center

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, 2015 and its quarterly report on Form 10-Q for the quarter ended June 30, 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.