Fannie Mae Executes Two Credit Insurance Risk Transfer Transactions on $50 Billion of Single-Family Loans
WASHINGTON, DC – Fannie Mae (FNMA/OTC) announced today that it has executed its second and third Credit Insurance Risk Transfer™ (CIRT™) transactions of 2022. As part of Fannie Mae's ongoing effort to reduce taxpayer risk by increasing the role of private capital in the mortgage market, CIRT 2022-2 and CIRT 2022-3 together transferred $1.8 billion of mortgage credit risk to private insurers and reinsurers.Since inception to date, Fannie Mae has acquired approximately $17.6 billion of insurance coverage on $612 billion of single-family loans through the CIRT program, measured at the time of issuance for both post-acquisition (bulk) and front-end transactions.
"We appreciate our continued partnership with the 25 insurers and reinsurers that have committed to write coverage for these two deals," said Rob Schaefer, Fannie Mae Vice President for Capital Markets.
The covered loan pool for CIRT 2022-2 consists of approximately 87,400 single-family mortgage loans with an outstanding unpaid principal balance of approximately $26.5 billion. The covered pool includes collateral with loan-to-value ratios of 60.01 percent to 80.00 percent, which were acquired between April 2021 and June 2021. The covered loan pool for CIRT 2022-3 consists of approximately 76,600 single-family mortgage loans with an outstanding unpaid principal balance of approximately $23.3 billion. The covered pool includes collateral with loan-to-value ratios greater than 80 percent and less than or equal to 97 percent, which were acquired between July 2021 and September 2021. The loans included in both transactions are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using rigorous credit standards and enhanced risk controls.
With CIRT 2022-2, which became effective February 1, 2022, Fannie Mae will retain risk for the first 25 basis points of loss on the $26.5 billion covered loan pool. If the $66.3 million retention layer is exhausted, 22 insurers and reinsurers will cover the next 335 basis points of loss on the pool, up to a maximum coverage of approximately $889 million. With CIRT 2022-3, which also became effective February 1, 2022, Fannie Mae will retain risk for the first 65 basis points of loss on the $23.3 billion covered loan pool. If the $151.6 million retention layer is exhausted, 23 insurers and reinsurers will cover the next 385 basis points of loss on the pool, up to a maximum coverage of approximately $898 million.
Coverage for this deal is provided based upon actual losses for a term of 12.5 years. Depending on the paydown of the insured pool and the principal amount of insured loans that become seriously delinquent, the aggregate coverage amount may be reduced at the one-year anniversary and each month thereafter. The coverage on each 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.
As of December 31, 2021, $750 billion 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 individual CIRT transactions, including pricing, please visit our Credit Insurance Risk Transfer webpage.
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