According to a new release, Fannie Mae has completed a new Credit Insurance Risk Transfer™ (CIRT™) transaction. CIRT 2024-H2 allocated $284.8 million in mortgage credit risk to private insurers and reinsurers.
“We appreciate the support of the 25 insurers and reinsurers that committed to write coverage on this deal,” said Rob Schaefer, Fannie Mae VP of Capital Markets.
The covered loan pool for CIRT 2024-H2 consists of roughly 34,000 single-family mortgage loans with an outstanding unpaid principal balance (UPB) of approximately $12.1 billion. Additionally, the covered pool collateral has loan-to-value (LTV) ratios of 80.01% to 97% and was bought between May 2023 and September 2023. The loans included in this transaction are fixed-rate, often 30-year term, fully amortizing mortgages and were underwritten using strict credit criteria and strengthened risk controls.
Fannie Mae Talks Risk Retention
With CIRT 2024-H2, which becomes effective April 1, 2024, Fannie Mae will retain risk for the first 185 basis points of loss on the $12.1 billion covered loan pool. If the $224.2 million retention layer is gone, 25 insurers and reinsurers will cover the next 235 basis points of loss on the pool, up to a maximum coverage of $284.8 million.
Coverage for this agreement is provided based upon actual losses for a term of 18 years. Depending on the paydown of the insured pool and the principal amounts of insured loans that become substantially delinquent, the coverage amount may be lowered at the one-year anniversary and each month afterward.
The coverage on this contract may be discontinued 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 present, Fannie Mae has bought roughly $27.2 billion in insurance coverage on $913.4 billion of single-family loans under the CIRT program, measured at the time of issue for both post-acquisition (bulk) and front-end transactions. As of March 30, 2024, approximately $1.33 trillion in outstanding UPB of loans in Fannie Mae’s single-family conventional guarantee book of business were included in a reference pool for a credit risk transfer transaction.
To read the full report, including more data, charts, and methodology, click here.
