Fannie Mae Executes First Credit Insurance Risk Transfer Transaction of 2024 on $9.0 Billion of Single-Family Loans

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Mar 01, 2024, 13:00 ET

WASHINGTON, March 1, 2024 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) announced today that it has executed its first Credit Insurance Risk Transfer™ (CIRT™) transaction of 2024. CIRT 2024-L1 transferred $355.6 million of mortgage credit risk to private insurers and reinsurers.

"CIRT 2024-L1 begins another active year of CIRT issuance for Fannie Mae," said Rob Schaefer, Fannie Mae Vice President, Capital Markets. "We appreciate the support of the 24 insurers and reinsurers that committed to write coverage and supported the extension of the CIRT maturity term on this deal to 18 years, from the 12.5-year term that had been utilized for most CIRT deals executed since 2019."

The covered loan pool for CIRT 2024-L1 consists of approximately 28,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $9.0 billion. The covered pool includes collateral with loan-to-value (LTV) ratios of 60.01 percent to 80.00 percent acquired between January 2023 and April 2023. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using rigorous credit standards and enhanced risk controls.

Beginning with this transaction, CIRT deals that cover existing pools of low-LTV loans will be identified by prefacing the CIRT deal number with the letter 'L,' and CIRT deals that cover existing pools of high-LTV loans will be identified by prefacing the CIRT deal number with the letter 'H.'

With CIRT 2024-L1, which became effective January 1, 2024, Fannie Mae will retain risk for the first 150 basis points of loss on the $9.0 billion covered loan pool. If the $135.1 million retention layer is exhausted, 24 reinsurers will cover the next 395 basis points of loss on the pool, up to a maximum coverage of $355.6 million.

Coverage for this deal is provided based upon actual losses for a term of 18 years. Depending on the paydown of the insured pool and the principal amount of insured loans that become seriously delinquent, the coverage amount may be reduced at the one-year anniversary and each month thereafter. The coverage on this deal may be canceled by Fannie Mae at any time on or after the five-year anniversary of the effective date by paying a cancellation fee.

Since inception to date, Fannie Mae has acquired approximately $26.2 billion of insurance coverage on $879.2 billion of single-family loans through the CIRT program, measured at the time of issuance for both post-acquisition (bulk) and front-end transactions. As of December 31, 2023, approximately $1.29 trillion in outstanding unpaid principal balance of loans in our single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.

To promote transparency and to help insurers and reinsurers evaluate the CIRT program, Fannie Mae provides ongoing, robust disclosure data, as well as access to news, resources, and analytics through its credit risk transfer webpages. This includes Fannie Mae's innovative Data Dynamics^® tool that enables market participants to interact with and analyze both CIRT deals that are currently outstanding in the market and Fannie Mae's historical loan dataset. For more information on specific CIRT transactions, including pricing, please visit our Credit Insurance Risk Transfer webpage.

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