Fannie Mae Executes Its Final Credit Insurance Risk Transfer Transaction of 2023 on $11.5 Billion of Single-Family Loans

WASHINGTON, Nov. 21 -- Fannie Mae issued the following news release on Nov. 20, 2023:

Fannie Mae (FNMA/OTC) announced today that it has executed its ninth and final Credit Insurance Risk Transfer (CIRT) transaction of 2023. CIRT 2023-9 transferred $270.7 million of mortgage credit risk to private insurers and reinsurers. Year to date, Fannie Mae has acquired approximately $3.66 billion of insurance coverage on $121 billion of single-family loans from nine CIRT deals issued in 2023.

"We appreciate the continued support of the 21 insurers and reinsurers that have committed to write coverage for this deal," said Rob Schaefer, Fannie Mae Vice President, Capital Markets.

The covered loan pool for CIRT 2023-9 consists of approximately 34,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $11.5 billion. The covered pool includes collateral with loan-to-value (LTV) ratios of 80.01 percent to 97.00 percent acquired between October 2022 and December 2022. 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 2023-9, which became effective September 1, 2023, Fannie Mae will retain risk for the first 165 basis points of loss on the $11.5 billion covered loan pool. If the $190 million retention layer is exhausted, 21 reinsurers will cover the next 235 basis points of loss on the pool, up to a maximum coverage of $270.7 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 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 $25.9 billion of insurance coverage on $870.2 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 September 30, 2023, approximately $1.27 trillion in outstanding unpaid principal balance of loans in our single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.

"As the market continues to adjust to evolving macroeconomic conditions, the engagement from our reinsurer partners has been instrumental to close out another successful year," said Devang Doshi, Fannie Mae Senior Vice President, Capital Markets.

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 (https://capitalmarkets.fanniemae.com/credit-risk-transfer/single-family-credit-risk-transfer/credit-insurance-risk-transfer?_ga=2.176059617.2116934641.1700554879-321614171.1696319521).

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Original text here: https://www.fanniemae.com/newsroom/fannie-mae-news/final-credit-insurance-risk-transfer-transaction-2023