Fannie Mae Reaffirms Treatment of Fixed-Severity Credit Risk Transfer Deals

With this announcement, Fannie Mae is reaffirming the credit event treatment for delinquent loans referenced in Connecticut Avenue Securities^® (CAS) issued in the CAS 2013-C01, CAS 2014-C01, CAS 2014-C02, and CAS 2014-C03 fixed-severity transactions as well as the following fixed-severity credit risk transfer (CRT) deals:

• J.P. Morgan Madison Avenue Securities Trust, Series 2014-1
• J.P. Morgan Madison Avenue Securities Trust, Series 2015-1
• Wells Fargo Credit Risk Transfer Securities Trust, L Street Securities Series 2015-WF1
• PMT Credit Risk Transfer Trust 2015-1, L Street Securities Series 2015-1
• PMT Credit Risk Transfer Trust 2015-2, L Street Securities Series 2015-2
• PMT Credit Risk Transfer Trust 2016-1, L Street Securities Series 2016-1

For these deals, reference obligations become credit events at 180 days or more delinquent, regardless of any grant of forbearance. For a full description of credit events, please refer to the related deal documents.

Market participants may contact the Fannie Mae Investor Help Line at 1-800-2FANNIE, Option 3, or by e-mail.