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

Rhea-AI Summary

Fannie Mae (OTCQB: FNMA) has announced its fifth Credit Insurance Risk Transfer (CIRT) transaction of 2024, transferring $337.2 million of mortgage credit risk to private insurers and reinsurers.

The transaction, CIRT 2024-L3, covers roughly 24,000 single-family loans with an unpaid principal balance (UPB) of $8.2 billion. These loans were acquired between July and September 2023 and span fixed-rate, 30-year terms with loan-to-value (LTV) ratios between 60.01% and 80.00%. The deal, effective May 1, 2024, retains 170 basis points of loss with Fannie Mae, while the remaining risk is transferred to insurers.

Since the inception of the CIRT program, Fannie Mae has secured $27.6 billion in insurance coverage on $921.6 billion of loans. As of March 30, 2024, $1.33 trillion in UPB of single-family conventional loans were included in a credit risk transfer transaction. Fannie Mae provides comprehensive disclosure data and analytics tools to support market participants in evaluating CIRT deals.

Positive

• Fannie Mae transferred $337.2 million of mortgage credit risk to private insurers.
• CIRT 2024-L3 covers 24,000 single-family loans with an UPB of $8.2 billion.
• Fannie Mae retains only 170 basis points of loss on the $8.2 billion loan pool.
• CIRT program has secured $27.6 billion in insurance coverage since inception.

Negative

• Coverage amount may be reduced starting from the one-year anniversary based on the paydown of the insured pool and the principal amounts of insured loans that become seriously delinquent.

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.

About Fannie Mae
Fannie Mae advances equitable and sustainable access to homeownership and quality, affordable rental housing for millions of people across America. We enable the 30-year fixed-rate mortgage and drive responsible innovation to make homebuying and renting easier, fairer, and more accessible. To learn more, visit:
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SOURCE Fannie Mae

FAQ

What is Fannie Mae's latest Credit Insurance Risk Transfer transaction?

Fannie Mae's latest Credit Insurance Risk Transfer (CIRT) transaction is CIRT 2024-L3, which transferred $337.2 million of mortgage credit risk to private insurers and reinsurers.

How many loans are covered in Fannie Mae's CIRT 2024-L3?

CIRT 2024-L3 covers approximately 24,000 single-family mortgage loans with an unpaid principal balance of $8.2 billion.

When did Fannie Mae's CIRT 2024-L3 transaction become effective?

Fannie Mae's CIRT 2024-L3 transaction became effective on May 1, 2024.

How much loss will Fannie Mae retain in CIRT 2024-L3?

Fannie Mae will retain risk for the first 170 basis points of loss on the $8.2 billion covered loan pool in CIRT 2024-L3.

How long is the coverage term for Fannie Mae's CIRT 2024-L3?

The coverage term for Fannie Mae's CIRT 2024-L3 is 18 years, subject to potential reductions and cancellation after five years.

What is the overall insurance coverage secured by Fannie Mae through the CIRT program?

Since its inception, Fannie Mae has secured approximately $27.6 billion in insurance coverage on $921.6 billion of single-family loans through the CIRT program.

As of March 30, 2024, what is the total unpaid principal balance of loans in Fannie Mae's single-family conventional guaranty book included in credit risk transfer transactions?

As of March 30, 2024, approximately $1.33 trillion in outstanding unpaid principal balance of loans were included in Fannie Mae's single-family conventional guaranty book of business for credit risk transfer transactions.