Fannie Mae priced a $1.01 billion credit risk-sharing transaction under its Connecticut Avenue Series program.
CAS Series 2018-C02 is scheduled to settle March 14.
The reference pool for the series consists of more than 112,000 single-family mortgage loans with an aggregate principal outstanding unpaid balance of approximately $26.5 billion. The loans have original loan-to-value ratios between 80.01% and 97% and were acquired from June 2017 through October 2017. They are fixed-rate, generally 30-year term, fully amortizing mortgages.
Fannie Mae will retain a portion of the 2M-1, 2M-2 and 2B-1 tranches to align its interests with investors throughout the life of the deal. Fannie Mae will retain the full 2B-2 and 2A-H tranches.
J.P. Morgan Securities LLC is the lead structuring manager and joint book runner, and BNP Paribas Securities Corp. is the co-lead manager and joint book runner. Co-managers are Merrill Lynch Pierce Fenner & Smith Inc., Citigroup Global Markets Inc., Morgan Stanley & Co. LLC, and Nomura Securities International. Selling group members are Samuel A. Ramirez & Co. Inc. and The Williams Capital Group LP.
