Fannie Mae Prices $1.351 Billion Connecticut Avenue Securities Risk Sharing Deal

Aleksandrs Rozens

202-752-7916

WASHINGTON, DC – Fannie Mae (FNMA/OTC) priced its first­­­­ credit risk sharing transaction of 2017 under its Connecticut Avenue Securities^™ (CAS) program. CAS Series 2017-C01, a $1.351 billion note offering, is scheduled to settle on January 26, 2017. CAS is Fannie Mae’s benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.

“We saw overwhelmingly positive response to our first deal of the year from a broad range of investors. In addition, we saw increased interest from insurance companies as well as non-U.S. investors on this transaction. Market participants continue to share positive feedback about the transparency we’re providing into our program with the release of our new investor resources at the end of last year including our innovative analytics tool, Data Dynamics,” said Laurel Davis, vice president of credit risk transfer, Fannie Mae. “Also, we saw a very positive response from investors to the changes we made in the structure of our class B notes. We expect to continue to issue this structure on future deals. We continue to see strong underwriting and high credit quality loans in the underlying reference pools.”

The reference pool for CAS Series 2017-C01 consists of more than 180,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $43.8 billion. The loans in this reference pool have loan-to-value ratios between 60 and 80 percent and were acquired from March 2016 through June 2016. 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, and 1B-1 tranches in order to align its interests with investors throughout the life of the deal.  Fannie Mae will retain the full 1B-2 tranche.

Bank of America Merrill Lynch is the lead structuring manager and joint bookrunner and Wells Fargo Securities is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital, BNP Paribas Securities, Citigroup Global Markets, and J.P. Morgan Securities. Selling group members are Tribal Capital Markets LLC and Williams Capital Group, L.P.

Through this transaction and other credit risk sharing programs, Fannie Mae increases the role of private capital in the mortgage market and reduces taxpayer risk. With the completion of this transaction, Fannie Mae will have brought 17 CAS deals to market since the program began, issued $21.2 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 $721 billion. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $881 billion 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 https://www.fanniemae.com/portal/funding-the-market/credit-risk/index.html. To view the periods in 2017 during which Fannie Mae may issue Connecticut Avenue Securities (CAS), please view our 2017 CAS Issuance Calendar.

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 September 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.