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SEC Filings

10-Q
FEDERAL NATIONAL MORTGAGE ASSOCIATION FANNIE MAE filed this Form 10-Q on 11/02/2018
Entire Document
 
 
MD&A | Business Segments


The tables below display the mortgage credit risk transferred to third parties and retained by Fannie Mae pursuant to our single-family credit risk transfer transactions.
Single-Family Credit Risk Transfer Transactions
Issuances from Inception to September 30, 2018(1)
(Dollars in billions)

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Senior
 
Fannie Mae(2)
 
Initial Reference Pool(5)
$1,427
 
 
 
 
 
 
 
 
 
 
 
Mezzanine
 
Fannie Mae(2)
 
CIRT(3)(4)
 
CAS(3)
 
Lender Risk-Sharing(3)
 
$2
 
$7
 
$31
 
$2
 
$1,481
 
 
 
 
 
 
 
 
 
 
First Loss
 
Fannie Mae(2)
 
CAS(3)(6)
 
Lender Risk-Sharing(3)
 
$8
 
$3
 
$1
 

Outstanding as of September 30, 2018(1)
(Dollars in billions)

http://api.tenkwizard.com/cgi/image?quest=1&rid=23&ipage=12526611&doc=27
Senior
 
Fannie Mae(2)
 
Outstanding Reference Pool(5)(7)
$1,041
 
 
 
 
 
 
 
 
 
 
 
Mezzanine
 
Fannie Mae(2)
 
CIRT(3)(4)
 
CAS(3)
 
Lender Risk-Sharing(3)
 
$1
 
$7
 
$22
 
$2
 
$1,085
 
 
 
 
 
 
 
 
 
 
First Loss
 
Fannie Mae(2)
 
CAS(3)(6)
 
Lender Risk-Sharing(3)
 
$8
 
$3
 
$1
 
__________
(1) 
For some lender risk-sharing transactions, does not reflect completed transfers of risk prior to settlement.
(2) 
Credit risk retained by Fannie Mae in CAS, CIRT and lender risk-sharing transactions. Tranche sizes vary across programs.
(3) 
Credit risk transferred to third parties. Tranche sizes vary across programs.
(4) 
Includes mortgage pool insurance transactions covering loans with an unpaid principal balance of approximately $7 billion at issuance and approximately $4 billion outstanding as of September 30, 2018.
(5) 
For CIRT and some lender risk-sharing transactions, “Reference Pool” reflects a pool of covered loans.
(6) 
For CAS transactions, “First Loss” represents all B tranche balances.
(7) 
For CAS and some lender risk-sharing transactions, represents outstanding reference pools, not the outstanding unpaid principal balance of the underlying loans. The outstanding unpaid principal balance for all loans covered by credit risk transfer programs, including all loans on which risk has been transferred in lender risk-sharing transactions, was $1,093 billion as of September 30, 2018.

Fannie Mae Third Quarter 2018 Form 10-Q
29