Fannie Mae has announced the execution of its latest new Credit Insurance Risk Transfer (CIRT) transactions—CIRT 2024-L2 and CIRT 2024-H1—which transferred $709 million of mortgage credit risk to private insurers and reinsurers.
The covered loan pool for CIRT 2024-L2 consists of approximately 30,000 single-family mortgage loans with an outstanding unpaid principal balance (UPB) of approximately $9.9 billion. Additionally, the covered pool collateral has loan-to-value (LTV) ratios of 60.01%-80%, and was acquired between April 2023 and July 2023.
The covered loan pool for CIRT 2024-H1 consists of approximately 35,000 single-family mortgage loans with an outstanding UPB of approximately $12.1 billion. This covered pool collateral has LTV ratios of 80.01%-97%, and was acquired between January 2023 and May 2023. The loans included in both transactions are fixed-rate, generally 30-year term, fully amortizing mortgages, and were underwritten using rigorous credit standards and enhanced risk controls.
“We appreciate the support of the 25 insurers and reinsurers that committed to write coverage on these deals,” said Rob Schaefer, Fannie Mae’s VP of Capital Markets.
GSE’s retaining risk
With CIRT 2024-L2, which became effective February 1, 2024, Fannie Mae will retain risk for the first 160 basis points of loss on the $9.9 billion covered loan pool. If the $158.3 million retention layer is exhausted, 25 insurers and reinsurers will cover the next 410 basis points of loss on the pool, up to a maximum coverage of $405.7 million. With CIRT 2024-H1, which also became effective February 1, 2024, Fannie Mae will retain risk for the first 175 basis points of loss on the $12.1 billion covered loan pool. If the $212.3 million retention layer is exhausted, 23 insurers and reinsurers will cover the next 250 basis points of loss on the pool, up to a maximum coverage of $303.4 million.
Coverage for these deals is provided based upon actual losses for a term of 18 years. Depending on the paydown of the insured pools and the principal amounts of insured loans that become seriously delinquent, the coverage amounts may be reduced at the one-year anniversary and each month thereafter. The coverage on these deals may be canceled by Fannie Mae at any time on or after the five-year anniversary of the effective date by paying a cancellation fee.
Acquisitions to date
Since inception to date, Fannie Mae has acquired approximately $26.9 billion of insurance coverage on $901.2 billion of single-family loans through the CIRT program, measured at the time of issuance for both post-acquisition (bulk) and front-end transactions. As of December 31, 2023, approximately $1.29 trillion in outstanding UPB of loans in our single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.
To promote transparency and to help insurers and reinsurers evaluate the CIRT program, Fannie Mae provides ongoing, robust disclosure data, as well as access to news, resources, and analytics through its credit risk transfer webpages. This includes Fannie Mae’s innovative Data Dynamics tool that enables market participants to interact with and analyze both CIRT deals that are currently outstanding in the market and Fannie Mae’s historical loan dataset.
