Press Release: Fitch Expects to Rate Fannie Mae's -2-
16 hours 48 minutes ago - DJNF
Receivership Risk Considered: Under the Federal Housing Finance Regulatory Reform Act, the Federal Housing Finance Agency (FHFA) must place Fannie Mae into receivership if it determines that Fannie Mae's assets are less than its obligations for more than 60 days following the deadline of its SEC filing, as well as for other reasons. As receiver, FHFA could repudiate any contract entered into by Fannie Mae if it is determined that the termination of such contract would promote an orderly administration of Fannie Mae's affairs. Fitch believes that the U.S. government will continue to support Fannie Mae, which is reflected in its current rating of Fannie Mae. However, if, at some point, Fitch views the support as being reduced and receivership likely, the ratings of Fannie Mae could be downgraded and the M-1 notes' ratings affected.

RATING SENSITIVITIES

Fitch's analysis incorporates sensitivity analyses to demonstrate how the ratings would react to steeper market value declines (MVDs) than assumed at both the metropolitan statistical area (MSA) and national levels. The implied rating sensitivities are only an indication of some of the potential outcomes and do not consider other risk factors that the transaction may become exposed to or be considered in the surveillance of the transaction.

This defined stress sensitivity analysis demonstrates how the ratings would react to steeper MVDs at the national level. The analysis assumes MDVs of 10%, 20%, and 30%, in addition to the model-projected 22% at the 'BBB-sf' level% for Group 1 and 20.9% at the 'BBB-sf' level for Group 2. The analysis indicates that there is some potential rating migration with higher MVDs, compared with the model projection.

Fitch also conducted defined rating sensitivities which determine the stresses to MVDs that would reduce a rating by one full category, to non-investment grade, and to 'CCCsf'. For example, additional MVDs of 11%, 7% and 28% would potentially reduce the Group 1 'BBB-sf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively. An additional MVDs of 12%, 8% and 33% would potentially reduce the Group 2 'BBB-sf' rated class down one rating category, to non-investment grade, and to 'CCCsf', respectively.

DUE DILIGENCE USAGE

Fitch was provided with due diligence information from Clayton Holdings LLC. The due diligence focused on credit and compliance reviews, desktop valuation reviews and data integrity. Fitch considered this information in its analysis and the findings did not have an impact on loss expectations.

Contact:

Primary Analyst

Christine Yan

Director

+1-212-908-0838

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

Secondary Analyst

Rachel Noonan

Director

+1-212-908-0224

Committee Chairperson

Grant Bailey

Managing Director

+1-212-908-0544

Media Relations: Sandro Scenga, New York, Tel: +1 212-908-0278, Email: sandro.scenga@fitchratings.com.

Additional information is available at www.fitchratings.com.

Sources of Information:

In addition to the information sources identified in Fitch's criteria listed below, Fitch's analysis incorporated data tapes, due diligence results, deal structure and legal documents provided by Fannie Mae.

Connecticut Avenue Securities, Series 2015-C03 (US RMBS)

https://www.fitchratings.com/creditdesk/repor..._id=868422

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/repor..._id=744158

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes (pub. 09 Mar 2015)

https://www.fitchratings.com/creditdesk/repor..._id=863276

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/repor..._id=867952

Rating Criteria for U.S. Residential and Small Balance Commercial Mortgage Servicers (pub. 23 Apr 2015)

https://www.fitchratings.com/creditdesk/repor..._id=864368

U.S. RMBS Cash Flow Analysis Criteria (pub. 06 Apr 2015)

https://www.fitchratings.com/creditdesk/repor..._id=863973

U.S. RMBS Loan Loss Model Criteria (pub. 17 Nov 2014)

https://www.fitchratings.com/creditdesk/repor..._id=810788

U.S. RMBS Master Rating Criteria (pub. 12 Jun 2015)

https://www.fitchratings.com/creditdesk/repor..._id=866607

U.S. RMBS Surveillance and Re-REMIC Criteria (pub. 01 Jun 2015)

https://www.fitchratings.com/creditdesk/repor..._id=866259

Additional Disclosures

<a rel="nofollow" href="https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=987904">Dodd-Frank Rating Information Disclosure Form</a>

Solicitation Status

https://www.fitchratings.com/gws/en/disclosur..._id=987904

<a rel="nofollow" href="https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31">Endorsement Policy</a><br></br>

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

(END) Dow Jones Newswires

July 14, 2015 16:18 ET (20:18 GMT