It was made on $9 billion of single-family loans
Fannie Mae has announced the execution of its first Credit Insurance Risk Transfer (CIRT) transaction of 2024. About $355.6 million of mortgage credit risk was transferred to private insurers as well as reinsurers.
“CIRT 2024-L1 begins another active year of CIRT issuance for Fannie Mae,” said Rob Schaefer, Fannie Mae vice president, capital markets.
“We appreciate the support of the 24 insurers and reinsurers that committed to write coverage and supported the extension of the CIRT maturity term on this deal to 18 years, from the 12.5-year term that had been utilized for most CIRT deals executed since 2019,” he added.
The CIRT 2024-L1 covered about 28,000 single-family mortgage loans that had an outstanding unpaid principal balance of around $9 billion. This covered loan pool included collateral with loan-to-value (LTV) ratios of 60.01% to 80% that were acquired from January 2023 - April 2023. These loans were fixed-rate, generally 30-year term, fully amortizing mortgages.
Through the transaction, Fannie Mae will retain risk for the first 150 basis points of loss on the covered loan pool of $9 billion. Should the $135.1 million retention layer be exhausted, about 24 reinsurers will cover the next 395 basis points of loss, up to a maximum of $355.6 million.
The coverage for the deal will be based on actual losses for 18 years. The coverage amount may be reduced on the first anniversary and every month afterwards, depending on the paydown of the insured pool as well as the principal amount of insured loans that will become delinquent.
Fannie Mae can cancel the coverage of the deal after five years of its effective date by paying a cancelation fee.
Following this transaction, the CIRT deals that cover existing pools consisting of low-LTV loans will be identified using the prefaced CIRT deal number with the letter “L”, while those that will be covering high-LTV loans will be prefaced with the letter “H”.
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