Fannie Mae's latest credit insurance risk transfer deal is its fourth transaction of this type it has announced in the last two months, following a year when it was basically out of the market.
The newest deal, CIRT 2022-4 transferred $844.8 million of mortgage credit risk to a group of 22 private insurers and reinsurers.
The covered loan pool consists of approximately 76,600 single-family mortgages with an outstanding unpaid principal balance of approximately $23.1 billion, loan-to-value ratios between 60.01% and 80% that Fannie Mae acquired between June 2021 and August 2021.
Fannie Mae retains the risk for the first 45 basis points of loss on the covered loan pool. If the $104.2 million retention layer is exhausted, those insurers and reinsurers will cover the next 365 bps of loss, up to a maximum of $844.8 million.
Coverage is provided based upon actual losses for a term of 12.5 years. Depending on the amount of mortgages making up the insured pool that pay down the balance, along with the principal amount of insured loans that become seriously delinquent, the aggregate coverage may be reduced at the first anniversary and each month thereafter. Fannie Mae can cancel coverage on this deal at any time on or after five years by paying a cancellation fee.
On Feb. 28, Fannie Mae announced
For all of 2021, Fannie Mae did just
Four
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. At the end of last year, $750 billion of loans in Fannie Mae's single-family book of business were included in a reference pool for a credit risk transfer transaction.