Fannie Mae Completes Ninth CIRT Transaction of 2022


Fannie Mae has executed its ninth Credit Insurance Risk Transfer (CIRT) 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 2022-9 transferred $700 million of mortgage credit risk to private insurers and reinsurers.

The covered loan pool for CIRT 2022-9 consists of approximately 69,000 single-family mortgage loans with an outstanding unpaid principal balance of approximately $21 billion. The covered pool includes collateral with loan-to-value (LTV) ratios of 60.01% to 80% acquired in October 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 2022-9, which became effective August 1, 2022, Fannie Mae will retain risk for the first 55 basis points of loss on the $21 billion covered loan pool. If the $115 million retention layer is exhausted, 23 insurers and reinsurers will cover the next 335 basis points of loss on the pool, up to a maximum coverage of $700 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 June 30, 2022, approximately $1.02 trillion 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.

Image: Matthew LeJune on Unsplash

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