Fannie Mae Prices $918 Million Connecticut Avenue Securities Risk Sharing Deal

Matthew Classick
202-752-3662

WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its sixth credit risk sharing transaction of 2018 under its Connecticut Avenue Securities^® (CAS) program. CAS Series 2018-C06, a $918 million note offering, is scheduled to settle on October 10, 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 CAS deal brought to the market, which was met with high demand from a deep base of investors," said Laurel Davis, vice president of credit risk transfer, Fannie Mae. "We look forward to launching our new CAS REMIC structure with our final deal of 2018, which will come to market later this quarter. The CAS REMIC is designed to maintain the stability and liquidity of the existing CAS program, while introducing new benefits for both first-time and existing investors."

The reference pool for CAS Series 2018-C06 consists of more than 105,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $25.7 billion. The reference pool will include two groups, comprised of collateral with loan-to-value ratios of 60.01 to 80.00 percent and 80.01 to 97.00 percent. The mortgage loans that have loan-to-value ratios of 60.01 to 80.00 percent were acquired from March 2018 through April 2018 and mortgage loans that have loan-to-value ratios of 80.01 to 97.00 percent were acquired from February 2018 through March 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 1M-1, 1M-2, 1B-1, 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 1B-2, 2B-2, 1A-H, and 2A-H tranches.

Nomura Securities International ("Nomura") is the lead structuring manager and joint bookrunner and Barclays Bank PLC ("Barclays") is the co-lead manager and joint bookrunner. Co-managers are Bank of America Merrill Lynch ("BofA Merrill Lynch"), Banque Nationale de Paris and Paribas ("BNP Paribas"), Morgan Stanley & Co. LLC ("Morgan Stanley"), and Wells Fargo Securities, LLC ("Wells Fargo Securities"). Selling group members are Siebert Cisneros Shank & Co., L.L.C. and The Williams Capital Group, L.P.

With the completion of this transaction, Fannie Mae will have brought 29 CAS deals to market since the program began, issued $35 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 $1.5 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.