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Fannie Mae prices credit risk sharing transaction

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Fannie Mae prices credit risk sharing transaction

FannieMae has priced its latest credit risk sharing transaction under itsConnecticut Avenue Securities series.

The $1.32 billion note offering is scheduled to settle July28.

After the transaction is completed, Fannie Mae will havecompleted 13 Connecticut Avenue Securities deals to market since the programbegan, issued $16.9 billion in notes, and transferred a portion of the creditrisk to private investors on single-family mortgage loans with an outstandingunpaid principal balance of about $580 billion.

Pricing for the 1M-1 tranche was one-month LIBOR, plus aspread of 145 basis points. Pricing for the 1M-2 tranche was one-month LIBOR,plus a spread of 425 basis points. Pricing for the 1-B tranche was one-monthLIBOR, plus a spread of 1,025 basis points.

The 1M-1 tranche is expected to receive ratings of Baa3(sf)from Moody's and BBB(sf) from KBRA Inc. The 1M-2 tranche is expected to receiveratings of B1(sf) from Moody's and BB-(sf) from KBRA. The 1-B tranche will notbe rated. Fannie Mae will retain a portion of the 1M-1, 1M-2 and 1-B tranchesin order to align its interests with investors throughout the life of the deal.

The next Connecticut Avenue Securities transaction isplanned for August.

Bank of America Merrill Lynch was the lead structuringmanager and joint bookrunner for the transaction. Barclays Capital was theco-lead manager and joint bookrunner, while Citigroup, Credit Suisse, J.P.Morgan and Wells Fargo Securities were co-managers.