The Federal National Mortgage Association (Fannie Mae) has executed its fourth Credit Insurance Risk Transfer (CIRT) transaction of 2024, transferring $284.8 million of mortgage credit risk to private insurers and reinsurers.
25 insurers and reinsurers have committed to write coverage on this deal, according to the announcement. The CIRT 2024-H2 transaction became effective April 1, 2024.
Approximately 34,000 single-family mortgage loans are part of the covered loan pool for CIRT 2024-H2, which have an outstanding unpaid principal balance (UPB) of approximately $12.1 billion.
The covered pool collateral also has loan-to-value (LTV) ratios of 80.01% to 97.00% and was acquired between May 2023 and September 2023.
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, Fannie Mae explained.
According to the announcement, with CIRT 2024-H2 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 exhausted, then the 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.
Fannie Mae stated: “Coverage for this deal 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 seriously delinquent, the coverage amount may be reduced at the one-year anniversary and each month thereafter.
“The coverage on this deal may be cancelled 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 date, Fannie Mae has acquired approximately $27.2 billion of insurance coverage on $913.4 billion of single-family loans through the CIRT program.
Its most recent transactions before CIRT 2024-H2 include CIRT 2024-L2 and CIRT 2024-H1. Where it transferred $709 million of mortgage credit risk to private insurers and reinsurers.
