Fannie Mae Executes Credit Insurance Risk Transfer Transaction on $21 Billion of Single-Family Loans
Fannie Mae announced today that it has executed its fifth Credit Insurance Risk Transfer™ transaction of 2022. As part of Fannie Mae’s ongoing effort to reduce taxpayer risk by increasing the role of private capital in the mortgage market, CIRT 2022-5 transferred $733.3 million of mortgage credit risk to private insurers and reinsurers. Since inception to date, Fannie Mae has acquired approximately $19.2 billion of insurance coverage on $656.6 billion of single-family loans through the CIRT program, measured at the time of issuance for both post-acquisition (bulk) and front-end transactions.
“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.
The covered loan pool for CIRT 2022-5 consists of approximately 67,700 single-family mortgage loans with an outstanding unpaid principal balance of approximately $21 billion. The covered pool includes collateral with loan-to-value ratios of 80.01 percent to 97.00 percent acquired between October 2021 and December 2021. The loans included in this transaction are fixed-rate, generally 30-year term, fully amortizing mortgages and were underwritten using rigorous credit standards and enhanced risk controls.
With CIRT 2022-5, which became effective April 1, 2022, Fannie Mae will retain risk for the first 65 basis points of loss on the $21 billion covered loan pool. If the $136.2 million retention layer is exhausted, 22 insurers and reinsurers will cover the next 350 basis points of loss on the pool, up to a maximum coverage of $733.3 million.
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. The coverage on this deal may be canceled by Fannie Mae at any time on or after the five-year anniversary of the effective date by paying a cancellation fee.
As of March 31, 2022, approximately $906 billion in outstanding UPB of loans in our single-family conventional guaranty book of business were included in a reference pool for a credit risk transfer transaction.
To promote transparency and to help insurers and reinsurers evaluate the CIRT program, Fannie Mae provides ongoing, robust disclosure data, as well as access to news, resources, and analytics through its credit risk transfer webpages. This includes Fannie Mae’s innovative Data Dynamics® tool that enables market participants to interact with and analyze both CIRT deals that are currently outstanding in the market and Fannie Mae’s historical loan dataset.