Fannie Mae, a GSE, has announced its seventh Credit Insurance Risk Transfer (CIRT) transaction of 2024, CIRT 2024-L4, with support from 26 re/insurers. This deal transferred $338.6 mn in mortgage credit risk.
The updated structure accelerates coverage release if the loan pool performs well and ties insurance premiums to the remaining coverage rather than the loan pool’s outstanding balance.
Rob Schaefer, Fannie Mae VP of Capital Markets, expressed appreciation for the 26 insurers and reinsurers involved and their positive response to the new structural updates in the CIRT policy.
The CIRT 2024-L4 pool includes roughly 23,500 single-family mortgage loans with an unpaid principal balance (UPB) around $7.9 bn. These loans, acquired between September and December 2023, feature loan-to-value (LTV) ratios from 60.01% to 80%.
They are fixed-rate, mostly 30-year mortgages, underwritten with strict credit and risk management standards.
Starting September 1, 2024, Fannie Mae retains the first 170 basis points of loss on the $7.9 bn loan pool. If this $133.9 mn retention layer depletes, the 26 insurers and reinsurers will cover the next 430 basis points, up to $338.6 mn.
Coverage spans an 18-year term, adjusting monthly based on overdue principal and reduction in the insured pool. Fannie Mae can cancel the coverage after five years with a cancellation fee.
Since launching the CIRT program, Fannie Mae has secured around $28.1 bn in insurance for $935 bn in single-family loans.
As of June 30, 2024, $1.35 tn in UPB from its single-family guaranty book was included in reference pools for credit risk transfers.
To aid insurers and reinsurers, Fannie Mae provides detailed data, news, and analytics on its credit risk transfer webpages. The Data Dynamics tool offers market participants insights into current CIRT transactions and historical loan data.
