June 26, 2018Fannie Mae Prices $939.5 Million Connecticut Avenue Securities Risk Sharing Deal
WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its fourth credit risk sharing transaction of 2018 under its Connecticut Avenue Securities® (CAS) program. CAS Series 2018-C04, a $939.5 million note offering, is scheduled to settle on July 3, 2018. CAS is Fannie Mae's benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.
"We were pleased with another successful transaction brought to the market as we continue to see broad investor demand," said Laurel Davis, vice president of credit risk transfer, Fannie Mae. "Pending market conditions, we plan to issue our fifth deal of 2018 in late July."
The reference pool for CAS Series 2018-C04 consists of more than 103,000 single-family mortgage loans with an aggregate outstanding unpaid principal balance of approximately $24.7 billion. The loans in this reference pool have original loan-to-value ratios between 80.01 and 97 percent and were acquired from October 2017 through January 2018. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages, and were underwritten using rigorous credit standards and enhanced risk controls.
Fannie Mae will retain a portion of the 2M-1, 2M-2, and 2B-1 tranches in order to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 2B-2 and 2A-H tranches.
|Class||Offered Amount ($MM)||Pricing Level||Expected Rating|
|2M-1||$187.893||1-month Libor plus 75 bps||BBB-sf from Fitch Ratings and A+ from Morningstar|
|2M-2||$598.908||1-month Libor plus 255 bps||Bsf from Fitch Ratings and BB+ from Morningstar|
|2B-1||$152.663||1-month Libor plus 450 bps||This class will not be rated|
Citigroup Global Markets Inc. ("Citi") is the lead structuring manager and joint bookrunner and J.P. Morgan Securities LLC ("J.P. Morgan") is the co-lead manager and joint bookrunner. Co-managers are Merrill Lynch, Pierce, Fenner & Smith Inc. ("BofA Merrill Lynch"), Barclays Capital Inc. ("Barclays"), BNP Paribas Securities Corp ("BNP"), and Wells Fargo Securities, LLC ("Wells Fargo"). Selling group members are Blaylock Van, LLC ("Blaylock") and The Williams Capital Group ("Williams Capital").
With the completion of this transaction, Fannie Mae will have brought 27 CAS deals to market since the program began, issued $33 billion in notes, and transferred a portion of the credit risk to private investors on over $1 trillion in single-family mortgage loans as part of the CAS program. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $1.4 trillion in single-family mortgages through all of its risk transfer programs.
Fannie Mae's deliberate issuer strategy works to build the CAS program in a sustainable way to promote liquidity and to build a broad and diverse investor base. To promote transparency and to help investors evaluate our program, Fannie Mae provides ongoing robust disclosure data to help credit investors evaluate the program, as well as access to news, resources, and analytics through its credit risk sharing webpages. This includes Fannie Mae's innovative Data Dynamics® tool, which enables market participants to analyze CAS deals that are currently outstanding.
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 our credit risk sharing website.
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 fanniemae.com and follow us on twitter.com/FannieMae.