Fannie Mae Executes Final Credit Insurance Risk Transfer Transaction of 2024 on $7.9 Billion of Single-Family Loans

New Enhancements Introduced to the CIRT Structure

WASHINGTON, Oct. 25, 2024 /PRNewswire/ -- Fannie Mae ?announced today that it has executed its seventh Credit Insurance Risk Transfer? (CIRT?) transaction of the year. CIRT 2024-L4 transferred $338.6 million of mortgage credit risk to private insurers and reinsurers.

"We appreciate the support of the 26 insurers and reinsurers that committed to write coverage on this deal, including the strong reception to the new structural enhancements that we introduced in the updated CIRT insurance policy," said Rob Schaefer, Fannie Mae Vice President, Capital Markets. Under the updated terms to the CIRT insurance policy, coverage will be released more quickly over the life of the transaction if the covered pool of loans continues to perform well. Additionally, the insurance premium obligation will be based on the amount of remaining coverage instead of the outstanding balance of the covered loan pool.

The covered loan pool for CIRT 2024-L4 consists of approximately 23,500 single-family mortgage loans with an outstanding unpaid principal balance (UPB) of approximately $7.9 billion. Additionally, the covered pool collateral has loan-to-value (LTV) ratios of 60.01 percent to 80.00 percent and was acquired between September 2023 and December 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-L4, which became effective September 1, 2024, Fannie Mae will retain risk for the first 170 basis points of loss on the $7.9 billion covered loan pool. If the $133.9 million retention layer is exhausted, 26 insurers and reinsurers will cover the next 430 basis points of loss on the pool, up to a maximum coverage of $338.6 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 amounts of insured loans that become seriously delinquent, the coverage amount may be reduced at the first month after the effective date of the policy 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 $28.1 billion of insurance coverage on $935 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 June 30, 2024, approximately $1.35 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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SOURCE Fannie Mae