Fannie Mae Executes its Fifth Credit Insurance Risk Transfer Transaction of 2024 on $8.2 Billion of Single-Family Loans

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Jul 01, 2024, 11:00 ET

WASHINGTON, July 1, 2024 /PRNewswire/ -- Fannie Mae (OTCQB: FNMA) announced today that it has executed a new Credit Insurance Risk Transfer™ (CIRT™) transaction. CIRT 2024-L3 transferred $337.2 million of mortgage credit risk to private insurers and reinsurers.

"We appreciate the support of the 27 insurers and reinsurers that committed to write coverage on this deal," said Rob Schaefer, Fannie Mae Vice President, Capital Markets.

The covered loan pool for CIRT 2024-L3 consists of approximately 24,000 single-family mortgage loans with an outstanding unpaid principal balance (UPB) of approximately $8.2 billion. Additionally, the covered pool collateral has loan-to-value (LTV) ratios of 60.01 percent to 80.00 percent and was acquired between July 2023 and September 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.

With CIRT 2024-L3, which became effective May 1, 2024, Fannie Mae will retain risk for the first 170 basis points of loss on the $8.2 billion covered loan pool. If the $139.8 million retention layer is exhausted, 27 insurers and reinsurers will cover the next 410 basis points of loss on the pool, up to a maximum coverage of $337.2 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 amounts 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 $27.6 billion of insurance coverage on $921.6 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 March 30, 2024, approximately $1.33 trillion in outstanding UPB 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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