News Release

April 12, 2016

Fannie Mae Brings Latest Connecticut Avenue Securities Risk Sharing Deal to Market

12th Deal Since the Program's Inception, Third Deal this Year

Callie Dosberg

202-752-3117

WASHINGTON, DC – Fannie Mae (FNMA/OTC) has priced its latest credit risk sharing transaction under its Connecticut Avenue Securities™ (CAS) series, a $1.15 billion note offering scheduled to settle on Thursday, April 21st. 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 completed 12 CAS deals since the program began, issued $15.6 billion in notes and transferred a portion of the credit risk to private investors on single-family mortgage loans with an outstanding unpaid principal balance of more than $540 billion. Since 2013, Fannie Mae has transferred a portion of the credit risk on $634 billion in single-family mortgages through all of its risk transfer programs. The next CAS transaction is planned for July and the company expects to be a regular issuer throughout 2016, subject to ongoing market conditions.

"We saw robust demand in our third Connecticut Avenue Securities deal of the year as investors continue to look for additional opportunities to gain exposure to the U.S. residential mortgage market," said Laurel Davis, vice president of credit risk transfer, Fannie Mae. "We were pleased with the broad investor interest we saw in the CAS 2016-C03 deal, including incremental new investors that came into the program. Investors continue to be interested in Fannie Mae’s single-family credit risk and our leading credit risk management processes. We continue to see diversified demand in our primary market issuance and have also seen improved liquidity in the secondary markets in the program as a whole."

Pricing for the 1M-1 tranche was one-month LIBOR plus a spread of 200 basis points. Pricing for the 1M-2 tranche was one-month LIBOR plus a spread of 530 basis points. Pricing for the 1B tranche was one-month LIBOR plus a spread of 1175 basis points. Pricing for the 2M-1 tranche was one-month LIBOR plus a spread of 220 basis points. Pricing for the 2M-2 tranche was one-month LIBOR plus a spread of 590 basis points. Pricing for the 2B tranche was one-month LIBOR plus a spread of 1275 basis points.

The 1M-1 and 2M-1 tranches are 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 and BB(sf) from KBRA, Inc. The 2M-2 tranche is expected to receive ratings of B(sf) from Fitch and B+(sf) from KBRA, Inc. The 1-B and 2-B tranches were not rated. Fannie Mae retained a portion of the 1M-1, 1M-2, and B tranches 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. BNP Paribas Securities Corp., Bank of America Merrill Lynch, Citigroup, and J.P. Morgan Securities, LLC were co-managers. With this transaction, Fannie Mae continues the involvement of Minority, Women, and Disabled-Owned Businesses in the CAS program, with both CastleOak Securities, L.P. and Williams Capital Group participating as selling group members.

Fannie Mae continues to issue based on an actual loss framework for Connecticut Avenue Securities transactions, in which any 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 published extensive information about its credit risk management practices, with the goal of providing additional transparency.

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. The reference pool for the Series 2016-C03 transaction is divided into two groups. Group one consists of over 49,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $11.9 billion. The loans in this group have loan to value ratios between 60.01 and 80 percent and were acquired in June 2015. Group two consists of over 110,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $25.4 billion. The loans in this group have loan to value ratios between 80.01 and 97 percent and were acquired from March through June 2015. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using strong credit standards and enhanced risk controls.

For more information on this transaction and Fannie Mae’s approach to credit risk transfer, visit http://www.fanniemae.com/portal/funding-the-market/credit-risk/index.html

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 "Business--Forward-Looking Statements" in the company's Form 10-K for 2015.

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