Fannie Mae, a government-sponsored enterprise and provider of mortgage financing in the United States, has completed a new Credit Insurance Risk Transfer transaction, CIRT 2024-H3, transferring $160.9 million of mortgage credit risk to private insurers and reinsurers.
The covered loans for the transaction consist of approximately 19,000 single-family mortgage loans with an outstanding unpaid principal balance (UPB) of approximately $6.4 billion.
The loans were acquired between October 2023 and December 2023, and have loan-to-value (LTV) ratios of 80.01% to 97%. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortising mortgages and were underwritten using rigorous credit standards and enhanced risk controls.
Rob Schaefer, Vice President, Capital Markets, Fannie Mae, commented, “We appreciate the support of the 25 insurers and reinsurers that committed to write coverage on this deal.”
Effective August 1st, 2024, Fannie Mae will retain risk for the first 185 basis points of loss on the $6.4 billion covered loan pool, through CIRT 2024-H3.
In case Fannie Mae’s $119 million retention layer is exhausted, 25 insurers and reinsurers will cover the next 250 basis points of loss on the pool, up to a maximum coverage of $160.9 million.
Coverage for this arrangement is based on actual losses over an 18-year term. Depending on the paydown and delinquency status of insured loans, the coverage amount may decrease starting from the one-year anniversary and monthly thereafter
The coverage of this deal may be cancelled by Fannie Mae at any time on or after the fifth anniversary of the effective date by paying a cancellation fee.
Since its inception, Fannie Mae has secured approximately $27.7 billion of insurance coverage on $928 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 June 30, 2024, approximately $1.35 trillion in outstanding UPB of loans in the firm’s single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.
