WASHINGTON, Feb. 6, 2018 /PRNewswire/ — Fannie Mae (OTC Bulletin Board: FNMA) priced its first credit risk sharing transaction of 2018 under its Connecticut Avenue Securities™ (CAS) program. CAS Series 2018-C01, a $1.494 billion note offering, is scheduled to settle on February 14, 2018. CAS is Fannie Mae’s benchmark issuance program designed to share credit risk on its single-family conventional guaranty book of business.
“Our first transaction of 2018 was met with solid demand as we continue to attract a diversified base of investors drawn to the consistency and liquidity of our program,” said Laurel Davis, vice president of credit risk transfer, Fannie Mae. “Per our published deal calendar, we expect to return to the market with our next CAS deal, 2018-C02, in early March, which will reference loans with loan-to-value ratios between 80 and 97 percent.”
The reference pool for CAS Series 2018-C01 consists of more than 186,000 single-family mortgage loans with an aggregate outstanding unpaid principal balance of approximately $44.9 billion. The loans in this reference pool have original loan-to-value ratios between 60 and 80 percent and were acquired from May 2017 through August 2017. 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 and 1A-H tranches.
1-month Libor plus 60 bps
BBB-sf from Fitch Ratings and BBB (high) (sf) from DBRS.
1-month Libor plus 225 bps
Bsf from Fitch Ratings and B (high) (sf) from DBRS.
1-month Libor plus 355 bps
This class will not be rated
Merrill Lynch, Pierce, Fenner & Smith Inc. (“BofA Merrill Lynch”) is the lead structuring manager and joint bookrunner and Wells Fargo Securities, LLC (“Wells Fargo Securities”) is the co-lead manager and joint bookrunner. Co-managers are Barclays Capital Inc. (“Barclays”), Citigroup Global Markets Inc. (“Citi”), Morgan Stanley & Co. LLC (“Morgan Stanley”), and Nomura Securities International (“Nomura”). Selling