Page 47 - May-June 2018 GSE Report Flip Book

FANNIE MAE MAJAYN-UAJRUYNE20210818
FANNIE MAE
Fannie Mae continues sharing mortgage risk with the private market
On May 4, Fannie Mae announced that it had secured commitments for two new front-end
Credit Insurance Risk TransferTM (CIRTTM) transactions. These will be the fourth and fifth deals completed on a flow basis, meaning the risk transfer will have been committed prior to Fannie Mae’s acquisition of the covered loans and the insurance coverage will be effective as soon as the loans are acquired. Coverage and pricing are committed for 12 months, beginning with March 2018 deliveries.
In CIRT FE 2018-1, which became effective March 1, 2018, Fannie Mae will retain risk for the first 50 basis points of loss on an approximately $12 billion pool of loans. If this $60 million retention layer is exhausted, reinsurers will cover the next 325 basis points of loss on the pool, up to a maximum coverage of approximately $390 million. With CIRT FE 2018-2, which also became effective March 1, 2018, Fannie Mae will retain risk for the first 50 basis points of loss on an approximately $8 billion pool of loans. If this $40 million retention layer is exhausted, reinsurers will cover the next 325 basis points of loss on the pool, up to a maximum coverage of approximately $260 million. Coverage for these deals will be provided based upon actual losses for a term of 10.5 years from the effective date. (Press Release, Fannie Mae, 05/04/18)
On June 11, Fannie Mae completed its second and third traditional Credit Insurance Risk TransferTM (CIRTTM) transactions of 2018 covering existing loans in the company’s portfolio. The two deals, CIRT 2018-2 and CIRT 2018-3, which together cover $10 billion of loans. To date, Fannie Mae has acquired about $6.2 billion of insurance coverage on $254 billion of loans through the CIRT program. (Press Release, Fannie Mae, 06/11/18)
On June 26, Fannie Mae priced its fourth credit risk sharing transaction for 2018, issuing a $939.5 note offering under its Connecticut Avenue Securities® (CAS) program. The reference pool
for CAS Series 2018-C04 consists of more than 103,000 single-family mortgage loans with an aggregate outstanding unpaid principal balance of approximately $24.7 billion. The loans in this reference pool have original loan-to-value ratios between 80.01 and 97 percent and were acquired from October 2017 through January 2018.
With the completion of this transaction, Fannie Mae will have brought 27 CAS deals to market since the program began, issued $33 billion in notes, and transferred a portion of the credit risk to private investors on over $1 trillion in single-family mortgage loans as part of the CAS program. Since 2013, Fannie Mae has transferred a portion of the credit risk on approximately $1.4 trillion in single-family mortgages through all of its risk transfer programs. (Press Release, Fannie Mae, 06/26/18)
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