As of October, a new Credit Insurance Risk Transfer (CIRT) transaction has been completed, according to a new release from Fannie Mae. Mortgage credit risk worth $160.9 million was transferred to private insurers and reinsurers by CIRT 2024-H3.
An estimated 19,000 single-family mortgage loans with an outstanding unpaid principal balance (UPB) of about $6.4 billion make up the covered loan pool for CIRT 2024-H3. In addition, the collateral for the covered pool was obtained between October 2023 and December 2023, with loan-to-value (LTV) ratios ranging from 80.01% to 97.00%.
This deal includes fixed-rate, fully amortizing, 30-year-term mortgages that were underwritten with strict credit standards and improved risk management.
On the $6.4 billion covered loan pool, Fannie Mae will bear risk for the first 185 basis points of loss under CIRT 2024-H3, which went into effect on August 1. Approximately 25 insurers and reinsurers will cover the next 250 basis points of loss on the pool if the $119 million retention layer is depleted, up to a maximum coverage of $160.9 million.
For 18 years, this deal offers coverage based on real losses. The coverage amount may be decreased at the one-year anniversary and every month after that, contingent upon the covered pool’s paydown and the principal amounts of insured loans that fall into a significant arrears situation.
Fannie Mae noted that it reserves the right to terminate this agreement’s coverage at any moment on or after the five-year anniversary of the start date in exchange for a cancellation fee.
Measured at the time of issue for both post-acquisition (bulk) and front-end transactions, Fannie Mae has obtained about $27.7 billion in insurance coverage on $928 billion in single-family loans under the CIRT program since its founding. A reference pool for a credit risk transfer transaction contained around $1.35 trillion in outstanding UPB of loans from our single-family conventional guarantee book of business as of June 30.
To read the full release, including more information on Fannie Mae’s CIRT transaction, click here.
