Fannie Mae Transfers Risk on $8.2 Billion of Single-Family Loans


Fannie Mae recently executed its fifth credit insurance risk transfer transaction of 2024 on $8.2 billion of single-family loans.

The Credit Insurance Risk Transfer (CIRT) transaction 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,” says Rob Schaefer, vice president, capital markets for Fannie Mae, in a statement.

The covered loan pool 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% to 80.00% and was acquired between July 2023 and September 2023.

The loans included in the transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using rigorous credit standards and enhanced risk controls.

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, 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.

Photo: Mathew Schwartz

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