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Press Release

Fannie Mae Announces Third Credit Risk Sharing Transaction with Reinsurance Industry

August 18, 2015

Company Continues to Innovate Risk Sharing Approach, Transaction Attracts International Reinsurer for the First Time

Callie Dosberg


WASHINGTON, DC – Fannie Mae (FNMA/OTC) announced today that it is continuing efforts to reduce taxpayer risk by increasing the role of private capital in the mortgage market and has completed its latest credit risk sharing transaction. The Credit Insurance Risk Transfer (CIRT™) transaction shifts credit risk on a pool of loans to a panel of reinsurers. For the first time since the CIRT program’s inception in 2014, an international reinsurer participated in this type of Fannie Mae risk sharing transaction. 

“Through CIRT, we remain focused on finding new ways to build liquidity and move credit risk away from Fannie Mae. In this transaction we attracted new global capital, providing opportunities for reinsurers to gain exposure to the U.S. housing market,” said Rob Schaefer, vice president for credit enhancement strategy & management. “We’ve focused on educating reinsurers on our company’s strategic approach to managing credit risk and to explore opportunities to work together. We want to continue to lead this space and grow the CIRT program as a repeatable, frequent structure, and increase the number of reinsurers we work with on these deals. We look forward to bringing similar transactions to market in the future.” 

In this transaction, CIRT-2015-2 which became effective July 1, 2015, Fannie Mae retains risk for the first 50 basis points of loss on an $8.1 billion pool of loans. If this $40.5 million retention layer were exhausted, reinsurers would cover the next 250 basis points of loss on the pool, up to a maximum coverage of approximately $202.5 million. Coverage is provided based upon actual losses for a term of 10 years. Depending upon the pay down of the insured pool and the amount of insured loans that become seriously delinquent, the aggregate coverage amount may be reduced at the 3-year anniversary and each anniversary of the effective date thereafter.  The coverage may be canceled by Fannie Mae at any time after the 5-year anniversary of the effective date by paying a cancellation fee. 

The reference loan pool for the transaction consists of 30-year fixed rate loans with loan-to-value (LTV) ratios greater than 60 percent and less than or equal to 80 percent. The loans were acquired by Fannie Mae from April through August of 2014.

In addition to the CIRT program, Fannie Mae continues to reduce risk to taxpayers through its flagship Connecticut Avenue Securities (CAS) program and other forms of risk transfer. Through both CIRT and CAS, Fannie Mae has sold a portion of the credit risk on approximately 60 percent of recent acquisitions and on approximately $400 billion of loans in recent years. These transactions are structured so that if the covered loans experienced the same stress as the most recent housing crisis, Fannie Mae’s projected losses would be limited to the small first-loss piece of credit risk retained by the company. 

More information on Fannie Mae’s credit risk transfer activities is available at

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