The Federal National Mortgage Association (Fannie Mae) has executed its fourth Credit Insurance Risk Transfer (CIRT) transaction of 2022, transferring another $844.8 million of mortgage credit risk to private insurers and reinsurers.
The covered loan pool for CIRT 2022-4 consists of 76,600 single-family mortgage loans with an outstanding unpaid principal balance of approximately $23.1 billion.
Since inception to date, Fannie Mae has acquired approximately $18.4 billion of insurance coverage on $635.6 billion of single-family loans through the CIRT program.
With CIRT 2022-4, which became effective March 1, 2022, Fannie Mae will retain risk for the first 45 basis points of loss on the $23.1 billion covered loan pool.
If the $104.2 million retention layer is exhausted, 22 insurers and reinsurers will cover the next 365 basis points of loss on the pool, up to a maximum coverage of $844.8 million.
“We appreciate our continued partnership with the 22 insurers and reinsurers that have committed to write coverage for this deal,” said Rob Schaefer, Fannie Mae Vice President for Capital Markets.
Coverage for this deal is provided based upon actual losses for a term of 12.5 years.
Depending on the paydown of the insured pool and the principal amount of insured loans that become seriously delinquent, the aggregate coverage amount may be reduced at the one-year anniversary and each month thereafter.
As of December 31, 2021, $750 billion in outstanding UPB of loans in Fannie Mae’s single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.
