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MD&A | Business Segments

Transfer of Mortgage Credit Risk: Single-Family Credit Risk Transfer Transactions
Our Single-Family business has developed risk-sharing capabilities to transfer portions of our single-family mortgage credit risk to the private market. The goal of these transactions is, to the extent economically sensible, to transfer a portion of the existing mortgage credit risk on a portion of recently acquired loans in our single-family guaranty book of business in order to reduce the economic risk to us and to taxpayers of future borrower defaults. Our primary method of achieving this objective has been through our CAS and CIRT transactions. In these transactions, we transfer to investors a portion of the mortgage credit risk associated with losses on a reference pool of mortgage loans and in exchange we pay investors a premium that effectively reduces the guaranty fee income we retain on the loans. We enter into other types of credit risk transfer transactions in addition to our CAS and CIRT transactions, including lender risk-sharing transactions. For information on our credit risk transfer transactions, see “MD&ABusiness SegmentsSingle-Family BusinessSingle-Family Mortgage Credit Risk ManagementTransfer of Mortgage Credit Risk—Credit Risk Transfer Transactions” in our 2016 Form 10-K.
As of June 30, 2017, $798 billion in outstanding unpaid principal balance of our single-family loans, or 28% of the loans in our single-family conventional guaranty book of business measured by unpaid principal balance, were included in a reference pool for a credit risk transfer transaction. During the first half of 2017, pursuant to our credit risk transfer transactions, we transferred a portion of the mortgage credit risk on single-family mortgages with an unpaid principal balance of $180 billion at the time of the transactions. Our CAS and CIRT transactions are our primary credit risk transfer transactions. In the first half of 2017, we paid $364 million on our outstanding CAS debt for the spread over LIBOR at the time of issuance of the debt and $84 million in CIRT premiums, compared with $231 million on CAS debt and $46 million in CIRT premiums in the first half of 2016. These amounts increased from the first half of 2016 to the first half of 2017 as we continue to transfer credit risk on a larger portion of our single-family book of business.
We generally include approximately half of our recent single-family acquisitions in credit risk transfer transactions, as we target only certain types of loan categories for these transactions. Loan categories we have targeted for credit risk transfer transactions generally consist of fixed-rate 30-year single-family conventional loans that meet certain credit performance characteristics, are non-Refi Plus and have LTV ratios between 60% and 97%. The portion of our single-family loan acquisitions we include in credit risk transfer transactions can vary from period to period based on market conditions and other factors.
Table 17 displays the mortgage credit risk transferred to third parties and retained by Fannie Mae at the time of issuance and the outstanding reference pool balances as of June 30, 2017 pursuant to our single-family credit risk transfer transactions.
Table 17: Single-Family Credit Risk Transfer Transactions
Issuances from Inception to June 30, 2017
(Dollars in billions)
Fannie Mae(1)
Fannie Mae(1)
Lender Risk-Sharing(2)
Initial Reference Pool(4)
First Loss
Fannie Mae(1)
Lender Risk-Sharing(2)

Fannie Mae Second Quarter 2017 Form 10-Q