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Fannie Mae prices credit risk sharing transaction


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Fannie Mae prices credit risk sharing transaction

Fannie Maesaid April 12 that it priced its third credit risk sharing transaction of 2016under its Connecticut Avenue Securities series.

The $1.15 billion note offering is scheduled to settle April21.

After the transaction is completed, Fannie Mae will havecompleted 12 Connecticut Avenue Securities deals since the program began,issued $15.6 billion in notes and transferred a portion of the credit risk toprivate investors on single-family mortgage loans with an outstanding unpaidprincipal balance of more than $540 billion.

Pricing for the 1M-1 tranche was one-month LIBOR, plus aspread of 200 basis points. Pricing for the 1M-2 tranche was one-month LIBOR,plus a spread of 530 basis points. Pricing for the 1B tranche was one-monthLIBOR, plus a spread of 1175 basis points. Pricing for the 2M-1 tranche wasone-month LIBOR, plus a spread of 220 basis points. Pricing for the 2M-2tranche was one-month LIBOR, plus a spread of 590 basis points. Pricing for the2B tranche was one-month LIBOR, plus a spread of 1275 basis points.

The 1M-1 and 2M-1 tranches are expected to receive ratingsof BBB-(sf) from Fitch Ratings and BBB(sf) from KBRA Inc. The 1M-2 tranche isexpected to receive ratings of B+(sf) from Fitch and BB(sf) from KBRA. The 2M-2tranche is expected to receive ratings of B(sf) from Fitch and B+(sf) fromKBRA. The 1-B and 2-B tranches were not rated. Fannie Mae retained a portion ofthe 1M-1, 1M-2 and B tranches in order to align its interests with investorsthroughout the life of the deal.

The next Connecticut Avenue Securities transaction isplanned for July, and the company expects to be a regular issuer throughout2016, subject to ongoing market conditions.

Barclays Capital Inc. was the lead structuring manager andjoint bookrunner on the third credit risk sharing transaction. Credit Suissewas the co-lead manager and joint bookrunner. BNP Paribas Securities Corp.,Bank of America Merrill Lynch, Citigroup and J.P. Morgan Securities LLC wereco-managers. CastleOak Securities LP and Williams Capital Group participated asselling group members.