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Press Release

Fannie Mae Prices Latest Connecticut Avenue Securities Risk Sharing Transaction

July 16, 2015

Company Reaches Milestone, Issuing Over $10 Billion in Notes, Covering over $390 Billion in UPB, 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 $1.56 billion note offering is scheduled to settle on July 22. Since the program began in October 2013, Fannie Mae has issued $10 billion in notes through CAS and transferred credit risk to private investors on single-family mortgage loans with an outstanding unpaid principal balance of over $390 billion, increasing the role of private capital in the mortgage market and reducing taxpayer risk.

“Despite various factors causing uncertainty in many global markets, we brought another successful CAS deal to the market and attracted new investors to the program,”said Laurel Davis, vice president for credit risk transfer at Fannie Mae. “As the leading manager of credit risk in the industry, we focus on consistent underwriting standards, cutting-edge quality control tools, and superior loss mitigation practices to reduce credit losses, which benefits our CAS investors. Our strategy has been to come to market once a quarter with regular, consistent transactions that investors can plan for and we continued to demonstrate that philosophy with this deal. Feedback from investors in the program continues to be overwhelmingly positive.”

The transaction included participation from a broadly diversified group of both new and existing investors. Pricing for both the 1M-1 tranche and the 2M-1 tranche was one-month LIBOR plus a spread of 150 basis points. Pricing for both the 1M-2 tranche and the 2M-2 tranche was one-month LIBOR plus a spread of 500 basis points. 

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. 

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

Fannie Mae anticipates that CAS 2015-C03 will be its final fixed severity deal and, subject to market conditions, expects to come to market with its first actual loss deal as early as the fourth quarter of 2015. Well in advance of its first actual loss deal, Fannie Mae will release an enhanced Single-Family loan performance dataset that provides credit performance information up to and including property disposition. To support the release, Fannie Mae will host web tutorials to help the market get the most out of this extensive amount of research data.

In addition to the flagship CAS program, Fannie Mae continues to reduce risk to taxpayers through additional forms of risk transfer with its 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. The reference pool for the Series 2015-C03 transaction contains over 225,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $48.3 billion. This reference pool consists of eligible loans acquired from May through August 2014, and is part of Fannie Mae’s new book of business that was 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 and 80.00 percent. Group two includes loans with original LTV ratios between 80.01 and 97.00 percent.

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

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