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Fannie Mae begins marketing second risk-sharing MBS -sources

By Adam Tempkin

NEW YORK, Jan 13 (IFR) - Fannie Mae has begun marketing its second risk-transfer mortgage-bond, the USD750m Connecticut Avenue Securities (CAS) 2014-C01, investors said on Monday.

The deal is expected to price on either Tuesday or Wednesday via lead placement agents Bank of America Merrill Lynch and Barclays. Bank of America is the structuring lead.

The deal includes two mezzanine tranches. Price whisper talk on the M1 (mezzanine) tranche has been set at one-month Libor plus high-100s basis points, and one-month Libor plus mid-400s basis points for the M2 tranche, the investors said.

Each tranche is expected to be USD375m in size. The M1 tranche is rated Baa2/BBB- by Moody's and Fitch respectively.

"It's premature to discuss any further details, but we look forward to reducing our risk and encouraging private capital to return to the market through additional transactions in 2014," said Callie Dosberg, a Fannie Mae spokeswoman.

Fannie priced its inaugural credit risk sharing transaction, 2013-C01, in mid-October, and has been expected to build on that success for some time.

The USD675m deal from October shared the risk on a large and diverse reference pool of more than 112,000 single family mortgage loans with an outstanding unpaid principal balance of USD27bn.